A generalized least squares estimation method for invertible vector moving average models
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference7 articles.
1. Recursive estimation of mixed autoregressive–moving average order;Hannan;Biometrica,1982
2. Likelihood function of stationary multiple autoregressive moving average models;Hillmer;Journal of the American Statistical Association,1979
3. Fast linear estimation methods for vector autoregressive moving-average models;Koreisha;Journal of Time Series Analysis,1989
4. A generalized least-squares approach for estimation of autoregressive moving-average models;Koreisha;Journal of Time Series Analysis,1990
5. Lütkepohl, H., 1993. Introduction to Multiple Time Series Analysis, 2nd ed. Springer-Verlag, Berlin.
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. New approximation for ARMA parameters estimate;Mathematics and Computers in Simulation;2015-12
2. Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm;Journal of Time Series Analysis;2007-09
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