The auto-regression and the moving-average

DOI10.1016/j.jspi.2009.12.022zbMath1184.62151MaRDI QIDQ963863

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

zbMATH Keywords

innovations algorithm; Gaussian likelihood; inverse variance matrix

Mathematics Subject Classification ID

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

15A99: Basic linear algebra

Uses Software

• AS 154

Cites Work

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• Computation of the exact likelihood function of multivariate moving average models
• The exact likelihood function of multivariate autoregressive-moving average models
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• On Durbin's formula for the limiting generalized variance of a sample of consecutive observations from a moving-average process
• Inverse Autocorrelations
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• The likelihood function of stationary autoregressive-moving average models
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes
• 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
• On the inverses of some patterned matrices arising in the theory of stationary time series
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• Large-sample estimation of parameters for autoregressive processes with moving-average residuals