The exact likelihood for a multivariate ARMA model

DOI10.1016/0047-259X(84)90023-XMaRDI QIDQ796949zbMATH OpenFDO

Authors V. Solo

Publication date 1984

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

algorithmsmissing datatime seriesMarkov modelKalman filtersparameterizationKronecker indicesChandrasekhar algorithmexact likelihoodgradient calculationmultivariate ARMA modelspecification of the lag structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) System identification (93B30) Identification in stochastic control theory (93E12)

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Cites work

• scientific article; zbMATH DE number 3969946 (Why is no real title available?)
• scientific article; zbMATH DE number 3729323 (Why is no real title available?)
• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 3410457 (Why is no real title available?)
• Covariance characterization by partial autocorrelation matrices
• Evaluation of likelihood functions for Gaussian signals
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• Square-root algorithms for least-squares estimation

Cited in

(16)

• EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS
• GENERAL FORMULAS FOR SERIAL CORRELATION, VARIANCE AND LIKELIHOOD FUNCTION RELATING TO AR(k) MODELS
• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• Maximum likelihood estimation of stationary multivariate ARFIMA processes
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• New approximation for ARMA parameters estimate
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• scientific article; zbMATH DE number 3878206 (Why is no real title available?)
• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
• ESTIMATION OF MULTIVARIATE TIME SERIES
• Contemporaneous bivariate time series
• The behaviour of the likelihood function for ARMA models
• On the likelihood function for a multivariate \(MA(q)\) process
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• scientific article; zbMATH DE number 987381 (Why is no real title available?)

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