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 ◽

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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Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models

10.21236/ada060867 ◽

1978 ◽

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 ◽

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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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 ◽

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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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Iterative Procedures for Exact Maximum Likelihood Estimation in the First-Order Gaussian Moving Average Model

10.21236/ada230812 ◽

1990 ◽

Author(s):

T. W. Anderson ◽

R. P. Mentz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Average Model ◽

First Order ◽

Moving Average Model ◽

Iterative Procedures ◽

Exact Maximum Likelihood

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On Maximum Likelihood Estimation of Parameters of Autoregressive Moving Average Processes

Transactions of the Seventh Prague Conference on Information Theory, Statistical Decision Functions, Random Processes and of the 1974 European Meeting of Statisticians ◽

10.1007/978-94-010-9910-3_4 ◽

1977 ◽

pp. 37-45 ◽

Author(s):

T. W. Anderson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Estimation Of Parameters ◽

Moving Average Processes

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Noise reduction of acoustic Doppler velocimeter data based on Kalman filtering and autoregressive moving average models

Acta Oceanologica Sinica ◽

10.1007/s13131-020-1641-x ◽

2020 ◽

Author(s):

Chuanjiang Huang ◽

Fangli Qiao ◽

Hongyu Ma

Keyword(s):

Noise Reduction ◽

Kalman Filtering ◽

Moving Average ◽

Autoregressive Moving Average ◽

Acoustic Doppler Velocimeter ◽

Moving Average Models ◽

Autoregressive Moving Average Models

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Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors

The Review of Economic Studies ◽

10.2307/2297215 ◽

1976 ◽

Vol 43 (3) ◽

pp. 383 ◽

Author(s):

A. R. Pagan ◽

D. F. Nicholls

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Finite Order ◽

Regression Models ◽

Moving Average ◽

Likelihood Estimation ◽

Exact Maximum Likelihood ◽

Moving Average Errors

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Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models

Computational Statistics & Data Analysis ◽

10.1016/s0167-9473(02)00212-8 ◽

2003 ◽

Vol 42 (3) ◽

pp. 333-348 ◽

Author(s):

Jurgen A. Doornik ◽

Marius Ooms

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Moving Average Models ◽

Computational Aspects

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Maximum Likelihood Estimation of Regression Models with Autoregressive- Moving Average Disturbances

10.2307/2335241 ◽

1979 ◽

Vol 66 (1) ◽

pp. 49 ◽

Author(s):

A. C. Harvey ◽

G. D. A. Phillips

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Regression Models ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average

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Maximum Likelihood Estimation of the Covariances of the Vector Moving Average Models in the Time and Frequency Domains

10.21236/ada060820 ◽

1978 ◽

Author(s):

F. Ahrabi

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Moving Average Models ◽

Frequency Domains ◽

Time And Frequency Domains

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