scientific article; zbMATH DE number 223551

MaRDI QIDQ5286138zbMATH OpenFDO

Authors Edit Huhn

Publication date 29 June 1993

zbMATH Keywords

ARMA processGaussian processKalman filteringlikelihood function

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(8)

• Faster ARMA maximum likelihood estimation
• Estimation and setting starting values in ARMA algorithms
• The exact quasi-likelihood of time-dependent ARMA models
• Recursive method for ARMA model estimation. I
• On Effective Computation of the Logarithm of the Likelihood Ratio Function for Gaussian Signals
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• Computation of the exact likelihood function of an arima process
• Recursive estimation of pre-sampled values in stochastic models

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