The exact likelihood function of a vector autoregressive moving average process

DOI10.1016/J.SPL.2008.10.030MaRDI QIDQ1009699zbMATH OpenOpenAlexFDO

Authors Jose L. Gallego

Publication date 3 April 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.10.030

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Basic linear algebra (15A99)

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Cites work

• scientific article; zbMATH DE number 5866275 (Why is no real title available?)
• scientific article; zbMATH DE number 4147357 (Why is no real title available?)
• Analysis of autoregressive-moving average models: Estimation and prediction
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• The evaluation of exact maximum likelihood estimates for varma models
• The exact likelihood function for a mixed autoregressive-moving average process
• The exact likelihood function of multivariate autoregressive-moving average models
• The likelihood function of stationary autoregressive-moving average models

Cited in

(13)

• A likelihood based estimator for vector autoregressive processes
• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• scientific article; zbMATH DE number 3843029 (Why is no real title available?)
• The likelihood of the parameters of a continuous time vector autoregressive model
• The likelihood functions of some autoregressive time series
• A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes
• scientific article; zbMATH DE number 4036989 (Why is no real title available?)
• Explicit vector expression of exact score for time series models in state space form
• On the closed form of the likelihood function of the first order moving average model
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• The exact initial covariance matrix of the state vector of a general MA(q) process
• The joint moment generating function of quadratic forms in multivariate autoregressive series
• An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model

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