Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models

DOI10.1016/0165-1889(91)90041-XzbMATH Open0727.62085WikidataQ127493899 ScholiaQ127493899MaRDI QIDQ803700FDOQ803700

Authors: Stefan Mittnik 

Publication date: 1991

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

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zbMATH Keywords

Kalman filterautoregressive processesexact maximum-likelihood estimation of multivariate ARMA modelsstate-space representationsunconditional state-covariance matrix

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic growth models (91B62)

Cites Work

• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
• Title not available (Why is that?)
• The exact likelihood function for a mixed autoregressive-moving average process
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• The exact likelihood function of multivariate autoregressive-moving average models
• ESTIMATION OF MULTIVARIATE TIME SERIES
• A note on obtaining the theoretical autocovariances of an ARMA process
• The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
• The determination of the state covariance matrix of moving-average processes without computation
• Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes

Cited In (9)

• Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
• The asymptotic covariance matrix of the QMLE in ARMA models
• The covariance matrix of ARMA errors in closed form
• Computing the covariance matrix of QML estimators for a state space model
• Title not available (Why is that?)
• Generation Of Time Series Models With Given Spectral Properties
• The determination of the state covariance matrix of moving-average processes without computation
• The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
• Exact maximum likelihood estimation of structured or unit root multivariate time series models

Uses Software

• AS 154
• AS 197

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