Sufficient statistics for arma models with some fixed parameters

DOI10.1080/03610929808832147MaRDI QIDQ3842918zbMATH OpenOpenAlexFDO

Authors Sahib Esa, Georgi N. Boshnakov

Publication date 20 August 1998

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832147

zbMATH Keywords

ARMA processesdata reductionforward-backward transformationssufficient statistics

Mathematics Subject Classification ID

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

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Cites work

• A complete parameterization of all positive rational extensions of a covariance sequence
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• On the closed form of the likelihood function of the first order moving average model
• On the Sufficient Statistics for Stationary Gaussian Random Processes
• Spectral properties of the concurrent and forecasting seasonal linear filters of the X-11-ARIMA method
• SUFFICIENT STATISTICS FOR STATIONARY DISCRETE‐TIME GAUSSIAN RANDOM PROCESSES
• Time series: theory and methods.

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(5)

• Maximum entropy models for general lag patterns
• DIFFERENTIAL GEOMETRY OF ARMA MODELS
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