Regression Procedures for ARMA Estimation

DOI10.2307/2288867MaRDI QIDQ3814603zbMATH OpenOpenAlexFDO

Authors E. J. Hannan, A. J. McDougall

Publication date 1988

Full work available at URL https://doi.org/10.2307/2288867

zbMATH Keywords

asymptotic distributionautoregression moving averageglobal convergence resultinitial estimates for iterative maximization of a Gaussian likelihoodinvertibilityLyapunov functionparameter estimationpositive real conditionRegression proceduresstationarity

Mathematics Subject Classification ID

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

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