On the sufficient statistics for multivariate ARMA models: approximate approach

DOI10.1007/S00362-007-0077-0MaRDI QIDQ840970zbMATHOpenAlexFDO

Authors A. R. Nematollahi, Mahmood Kharrati-Kopaei, Z. Shishebor

Publication date 14 September 2009

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-007-0077-0

zbMATH Keywords

sufficient statisticapproximate sufficient statisticmultivariate ARMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sufficient statistics and fields (62B05)

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Cites work

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• scientific article; zbMATH DE number 815742 (Why is no real title available?)
• Foundations of time series analysis and prediction theory
• Further results on asymptotic normality. I
• On the Sufficient Statistics for Stationary Gaussian Random Processes
• SUFFICIENT STATISTICS FOR STATIONARY DISCRETE‐TIME GAUSSIAN RANDOM PROCESSES
• Second-order sufficiency and statistical invariants
• Sufficient statistics for arma models with some fixed parameters
• The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions

Cited in

(4)

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• scientific article; zbMATH DE number 816224 (Why is no real title available?)
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