The efficient estimation of vector linear time series models

DOI10.1093/BIOMET/63.2.381MaRDI QIDQ4096289zbMATH OpenOpenAlexFDO

Authors D. F. Nicholls

Publication date 1976

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/63.2.381

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cited in

(10)

• Large sample estimation and testing procedures for dynamic equation systems
• Local and global identification and strong consistency in time series models
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS
• The evaluation of exact maximum likelihood estimates for varma models
• Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models
• ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
• Vector moving average models: a review

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