The exact likelihood for a multivariate ARMA model

DOI10.1016/0047-259X(84)90023-XzbMATH Open0544.62084MaRDI QIDQ796949FDOQ796949

Authors: V. Solo 

Publication date: 1984

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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zbMATH Keywords

algorithmsmissing datatime seriesMarkov modelKalman filtersparameterizationKronecker indicesChandrasekhar algorithmexact likelihoodgradient calculationmultivariate ARMA modelspecification of the lag structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) System identification (93B30) Identification in stochastic control theory (93E12)

Cites Work

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• Evaluation of likelihood functions for Gaussian signals
• Square-root algorithms for least-squares estimation
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Covariance characterization by partial autocorrelation matrices
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Cited In (16)

• On the likelihood function for a multivariate \(MA(q)\) process
• Maximum likelihood estimation of stationary multivariate ARFIMA processes
• New approximation for ARMA parameters estimate
• EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS
• ESTIMATION OF MULTIVARIATE TIME SERIES
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• Title not available (Why is that?)
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• Title not available (Why is that?)
• GENERAL FORMULAS FOR SERIAL CORRELATION, VARIANCE AND LIKELIHOOD FUNCTION RELATING TO AR(k) MODELS
• Contemporaneous bivariate time series
• The behaviour of the likelihood function for ARMA models
• Exact maximum likelihood estimation of structured or unit root multivariate time series models

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