The estimation of mixed moving average autoregressive systems

DOI10.1093/BIOMET/56.3.579MaRDI QIDQ5580811zbMATH OpenOpenAlexFDO

Authors E. J. Hannan

Publication date 1969

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/56.3.579

zbMATH Keywords

statistics

Cited in

(22)

• The inverse partial correlation function of a time series and its applications
• Local identification of ARMAX structures subject to nonlinear constraints
• Parameter estimation of an autoregressive moving average model
• Identification of stochastic linear systems in presence of input noise
• Estimation in the first-order moving average model through the finite autoregressive approximation: Some asymptotic results
• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• A spectral EM algorithm for dynamic factor models
• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• The ARMA alphabet soup: a tour of ARMA model variants
• Model averaging prediction for time series models with a diverging number of parameters
• Model averaging multistep prediction in an infinite order autoregressive process
• ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
• ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• The estimation of autoregressive, moving average and mixed autoregressive moving average systems with time-dependent parameters of non-stationary time series
• Implementation of the direct representation for the maximum likelihood estimator of a gaussian moving average process
• An Adaptive Estimation of Dimension Reduction Space
• SPECTRAL FINANCIAL ECONOMETRICS
• Comparison of various methods for estimating the parameters characterizing noise in discrete time dynamical systems
• Inference problems for vector linear time series models
• On the criterion function for ARMA estimation
• ARMA spectral estimation based on partial autocorrelations

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