Maximum likelihood estimation for arma models in the presence of ARMA errors

Likelihood Estimation ◽

Maximum Likelihood Estimation and Model Checking for Vector ARMA Models

Springer Series in Statistics - Elements of Multivariate Time Series Analysis ◽

10.1007/978-1-4612-0679-8_5 ◽

1997 ◽

pp. 122-174

Author(s):

Gregory C. Reinsel

Keyword(s):

Maximum Likelihood ◽

Model Checking ◽

Likelihood Estimation ◽

Gaussian maximum likelihood estimation for ARMA models II: Spatial processes

Bernoulli ◽

10.3150/bj/1151525128 ◽

2006 ◽

Vol 12 (3) ◽

pp. 403-429 ◽

Cited By ~ 33

Author(s):

Qiwei Yao ◽

Peter J. Brockwell

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

Spatial Processes ◽

Corrigendum

Econometric Theory ◽

10.1017/s0266466600008793 ◽

1994 ◽

Vol 10 (3-4) ◽

pp. 811-811

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

Arma Models ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

B.M. Pötscher, Noninvertibility and Pseudo Maximum Likelihood Estimation of Misspecified ARMA Models. Econometric Theory 7 (1991): 435–449.

Exact maximum likelihood estimation of partially nonstationary vector ARMA models

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2005.07.012 ◽

2006 ◽

Vol 50 (12) ◽

pp. 3644-3662 ◽

Cited By ~ 9

Author(s):

José Alberto Mauricio

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

Arma Models ◽

Exact Maximum Likelihood

Maximum Likelihood Estimation and Model Checking for Vector ARMA Models

Springer Series in Statistics - Elements of Multivariate Time Series Analysis ◽

10.1007/978-1-4684-0198-1_5 ◽

1993 ◽

pp. 111-153

Author(s):

Gregory C. Reinsel

Keyword(s):

Maximum Likelihood ◽

Model Checking ◽

Likelihood Estimation ◽

Computational Economics and Econometrics - Advanced Studies in Theoretical and Applied Econometrics ◽

On Efficient Exact Maximum Likelihood Estimation of High-Order ARMA Models

10.1007/978-94-011-3162-9_3 ◽

1992 ◽

pp. 33-42

Author(s):

Stefan Mittnik

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

High Order ◽

Arma Models ◽

Exact Maximum Likelihood

Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1881120 ◽

2021 ◽

pp. 1-19

Author(s):

Raza Sheikhrabori ◽

Majid Aminnayeri

Keyword(s):

Maximum Likelihood ◽

Stationary State ◽

Change Point ◽

Moving Average ◽

Likelihood Estimation ◽

Arma Models ◽

Auto Regressive

Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models

Journal of the American Statistical Association ◽

10.1080/01621459.1995.10476511 ◽

1995 ◽

Vol 90 (429) ◽

pp. 282-291 ◽

Cited By ~ 19

Author(s):

José Alberto Mauricio

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

Arma Models ◽

Exact Maximum Likelihood ◽

Stationary Vector

Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models

Journal of Economic Dynamics and Control ◽

10.1016/0165-1889(91)90041-x ◽

1991 ◽

Vol 15 (4) ◽

pp. 731-740 ◽

Cited By ~ 1

Author(s):

Stefan Mittnik

Keyword(s):

Maximum Likelihood ◽

Covariance Matrix ◽

Likelihood Estimation ◽

Arma Models ◽

Exact Maximum Likelihood

Maximum likelihood estimation of the parameters of nonminimum phase and noncausal ARMA models

IEEE Transactions on Signal Processing ◽

10.1109/78.258141 ◽

1994 ◽

Vol 42 (1) ◽

pp. 209-211

Author(s):

K.B. Rasmussen

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

Arma Models ◽

Nonminimum Phase