The likelihood function of stationary autoregressive-moving average models

DOI10.1093/BIOMET/66.2.265MaRDI QIDQ4195811zbMATH OpenOpenAlexFDO

Authors Greta M. Ljung, G. E. P. Box

Publication date 1979

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/66.2.265

zbMATH Keywords

Autoregressive-Moving Average ModelComputational EfficiencyLikelihood FunctionNumerical ResultsTime Series Estimation

Mathematics Subject Classification ID

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

Cited in

(36)

• The exact likelihood function of a vector autoregressive moving average process
• Computing and using residuals in time series models
• A Bayesian approach to time-varying cross-sectional regression models
• Factorization and the Schur-Cohn matrix of a matrix polynomial
• The exact quasi-likelihood of time-dependent ARMA models
• Bias correction in ARMA models
• Fast optimization of the exact likelihood of AR and ARMA processes
• EGARCH models with fat tails, skewness and leverage
• Statistical outlier analysis in litigation support: The case of Paul F. Engler and Cactus Feeders, Inc., v. Oprah Winfrey et al
• On the output effects of monetary variability
• Money, velocity, and the stock market
• Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
• Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates
• Monitoring Multivariate Simple Linear Profiles in the Presence of between Profile Autocorrelation
• TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA
• Analysis of drawdowns and drawups in the US$ interest-rate market
• A Note on the Estimation of Missing Values in Time Series
• Enhancing hedging performance with the spanning polynomial projection
• PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
• EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS
• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• ON THE LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• SUFFICIENT STATISTICS FOR STATIONARY DISCRETE‐TIME GAUSSIAN RANDOM PROCESSES
• SOME ASPECTS OF MODELLING AND FORECASTING MULTIVARIATE TIME SERIES
• Computing optimal adjustment schemes for the general tool-wear problem
• BIAS in linear regression models with unknown covariance matrix
• Bartlett-corrected tests for normal linear models when the error covariance matrix is nonscaiar
• A note on the derivation of theoretical autocovariances for ARMA models
• Intra-Cluster Correlation in the Normal Model
• Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
• Model identification of ARIMA family using genetic algorithms
• PROFILE SUMMARIES FOR ARIMA TIME SERIES MODEL PARAMETERS
• George Box's contributions to time series analysis and forecasting
• Volatility Estimation When the Zero-Process is Nonstationary
• Pair-copula constructions of multiple dependence
• The auto-regression and the moving-average

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