On the criterion function for ARMA estimation

DOI10.1016/0378-3758(93)90141-RzbMath0787.62094OpenAlexW2100364250MaRDI QIDQ689416

D. Stephen G. Pollock

Publication date: 5 December 1993

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(93)90141-r

zbMATH Keywords

bias reductiontime seriesinvertibilitymatrix representationstationarityToeplitz matricescirculant matricesasymptotic maximum- likelihood estimatorsconditional least-squares estimatorsfrequency domain approximationsmall sample biasstationary ARMA-models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Uses Software

• AS 175

Cites Work

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• An improved estimation method for univariate autoregressive models
• Problems with the estimation of moving average processes
• Bias of some commonly-used time series estimates
• Loss of spectral peaks in autoregressive spectral estimation
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
• Fitting Models to Spectra Using Regression Packages
• Efficient implementation of wilson's algorithm for factorizing a self-reciprocal polynomial
• On the Criteria Functions used for the Estimation of Moving Average Processes
• A direct representation for the maximum likelihood estimator of a Gaussian moving average process
• Algorithm AS 175: Cramer-Wold Factorization
• The estimation of mixed moving average autoregressive systems
• When is an altoregressive scheme stationary

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