The evaluation of exact maximum likelihood estimates for varma models

DOI10.1080/00949658008810373MaRDI QIDQ3871775zbMATH OpenOpenAlexFDO

Authors

Publication date 1980

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658008810373

zbMATH Keywords

exogenous variablesvector autoregressive moving average modelsexact maximum likelihood estimation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• scientific article; zbMATH DE number 3388498 (Why is no real title available?)
• Computation of the exact likelihood function of an arima process
• Numerical methods for solving linear least squares problems
• The Identification Problem for Multiple Equation Systems with Moving Average Errors
• The efficient estimation of vector linear time series models
• The exact likelihood function of multivariate autoregressive-moving average models

Cited in

(5)

• An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes
• Vector moving average models: a review
• The exact likelihood function of a vector autoregressive moving average process
• A note on obtaining the theoretical autocovariances of an ARMA process
• The exact Gaussian likelihood estimation of time-dependent VARMA models

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Uses Software

• BRENT

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