The auto-regression and the moving-average

DOI10.1016/J.JSPI.2009.12.022zbMATH Open1184.62151OpenAlexW1970025204MaRDI QIDQ963863FDOQ963863

Authors: Chrysoula Dimitriou-Fakalou 

Publication date: 14 April 2010

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

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.12.022

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zbMATH Keywords

innovations algorithmGaussian likelihoodinverse variance matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Basic linear algebra (15A99)

Cites Work

• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• Title not available (Why is that?)
• The likelihood function of stationary autoregressive-moving average models
• Title not available (Why is that?)
• Foundations of time series analysis and prediction theory
• On the inverses of some patterned matrices arising in the theory of stationary time series
• Inverse Autocorrelations
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Large-sample estimation of parameters for autoregressive processes with moving-average residuals
• The exact likelihood function of multivariate autoregressive-moving average models
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes
• Computation of the exact likelihood function of multivariate moving average models
• On Durbin's formula for the limiting generalized variance of a sample of consecutive observations from a moving-average process
• The exact likelihood of an autoregressive-moving average model with incomplete data
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model

Cited In (2)

• Dual and inverse ARMA processes and application to time reversibility
• Title not available (Why is that?)

Uses Software

• AS 154

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