Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models

Mapping Intimacies ◽

10.21236/ada060867 ◽

1978 ◽

Cited By ~ 2

Author(s):

Theodore W. Anderson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

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Maximum Likelihood Estimation for Periodic Autoregressive Moving Average Models

Technometrics ◽

10.1080/00401706.1985.10488076 ◽

1985 ◽

Vol 27 (4) ◽

pp. 375-384 ◽

Cited By ~ 61

Author(s):

A. V. Vecchia

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Moving Average Models ◽

Autoregressive Moving Average Models

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Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering

Journal of the Royal Statistical Society Series C (Applied Statistics) ◽

10.2307/2346910 ◽

1980 ◽

Vol 29 (3) ◽

pp. 311 ◽

Cited By ~ 103

Author(s):

G. Gardner ◽

A. C. Harvey ◽

G. D. A. Phillips

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Kalman Filtering ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Moving Average Models ◽

Exact Maximum Likelihood ◽

Autoregressive Moving Average Models

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Modified Maximum Likelihood Estimation in First-Order Autoregressive Moving Average Models with some Non-Normal Residuals

Journal of the Iranian Statistical Society ◽

10.52547/jirss.19.2.33 ◽

2020 ◽

Vol 19 (2) ◽

pp. 33-66

Author(s):

Maryam Kasraie ◽

Abdolreza Sayyareh ◽

◽

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

First Order ◽

Modified Maximum Likelihood ◽

Moving Average Models ◽

Autoregressive Moving Average Models

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Vector autoregressive moving average models

Handbook of Statistics - Conceptual Econometrics Using R ◽

10.1016/bs.host.2019.01.004 ◽

2019 ◽

pp. 145-191 ◽

Cited By ~ 1

Author(s):

Wolfgang Scherrer ◽

Manfred Deistler

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

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Robust Estimation in Vector Autoregressive Moving-Average Models

Journal of Time Series Analysis ◽

10.1111/1467-9892.00144 ◽

1999 ◽

Vol 20 (4) ◽

pp. 381-399 ◽

Cited By ~ 15

Author(s):

Marta Garcia Ben ◽

Elena J. Martinez ◽

Victor J. Yohai

Keyword(s):

Robust Estimation ◽

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

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A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models

Econometric Reviews ◽

10.1080/07474938.2011.607343 ◽

2012 ◽

Vol 31 (3) ◽

pp. 297-324 ◽

Cited By ~ 18

Author(s):

Christian Kascha

Keyword(s):

Moving Average ◽

Estimation Methods ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

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The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918908812771 ◽

1989 ◽

Vol 18 (2) ◽

pp. 467-479

Author(s):

Ken Hung ◽

Frank B. Alt

Keyword(s):

Parameter Estimation ◽

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

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Supplement To 'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets'

SSRN Electronic Journal ◽

10.2139/ssrn.2830838 ◽

2017 ◽

Author(s):

Gustavo Fruet Dias ◽

George Kapetanios

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

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Parsimonious Parameterization of Vector Autoregressive Moving Average Models

Journal of Business and Economic Statistics ◽

10.2307/1391530 ◽

1989 ◽

Vol 7 (3) ◽

pp. 327 ◽

Cited By ~ 13

Author(s):

Ruey S. Tsay

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

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Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets

SSRN Electronic Journal ◽

10.2139/ssrn.2707176 ◽

2017 ◽

Author(s):

Gustavo Fruet Dias ◽

George Kapetanios

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text