The estimation of ARMA models

DOI10.1214/AOS/1176343200MaRDI QIDQ1219534zbMATH OpenOpenAlexFDO

Authors E. J. Hannan

Publication date 1975

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176343200

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Cited in

(10)

• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• Identification of stochastic linear systems in presence of input noise
• A NOTE ON ARMA ESTIMATION
• Recursive identification for EIV ARMAX systems
• Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible \(\mathrm{ARMA}(p,q)\) model
• On the order of the minimal output representation of stochastic linear systems
• Large sample estimation and testing procedures for dynamic equation systems. (Rejoinder)
• Large sample estimation and testing procedures for dynamic equation systems
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• Estimating linear representations of nonlinear processes

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