The exact likelihood function of multivariate autoregressive-moving average models

DOI10.1093/BIOMET/66.2.259MaRDI QIDQ3049716zbMATH OpenOpenAlexFDO

Authors

Publication date 1979

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/66.2.259

zbMATH Keywords

covariance functionestimationexact maximum likelihoodtime seriesvector autoregressive-moving average

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(15)

• The exact likelihood function of a vector autoregressive moving average process
• Testing causality using efficiently parametrized vector ARMA models
• Fast optimization of the exact likelihood of AR and ARMA processes
• Estimation of the Polynomial Matrices of Vector Moving Average Processes
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
• The evaluation of exact maximum likelihood estimates for varma models
• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
• Bayesian modeling and forecasting of vector autoregressive moving average processes
• Vector moving average models: a review
• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• The auto-regression and the moving-average

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