MAXIMUM LIKELIHOOD IDENTIFICATION OF GAUSSIAN AUTOREGRESSIVE MOVING AVERAGE MODELS

被引:645
|
作者
AKAIKE, H
机构
[1] UNIV HAWAII,HONOLULU,HI 96822
[2] INST STATISTICAL MATH,TOKYO,JAPAN
关键词
D O I
10.1093/biomet/60.2.255
中图分类号
Q [生物科学];
学科分类号
07 ; 0710 ; 09 ;
摘要
引用
收藏
页码:255 / 265
页数:11
相关论文
共 50 条
  • [41] Empirical likelihood for moving average models
    Li, Yinghua
    Qin, Yongsong
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2021, 50 (15) : 3661 - 3676
  • [42] AUTOREGRESSIVE AND MIXED AUTOREGRESSIVE-MOVING AVERAGE MODELS AND SPECTRA
    ULRYCH, TJ
    OOE, M
    [J]. TOPICS IN APPLIED PHYSICS, 1983, 34 : 73 - 125
  • [43] BIVARIATE EXPONENTIAL AND GEOMETRIC AUTOREGRESSIVE AND AUTOREGRESSIVE MOVING AVERAGE MODELS
    BLOCK, HW
    LANGBERG, NA
    STOFFER, DS
    [J]. ADVANCES IN APPLIED PROBABILITY, 1988, 20 (04) : 798 - 821
  • [45] On the exact likelihood function of a multivariate autoregressive moving average model
    Ma, CS
    [J]. BIOMETRIKA, 1997, 84 (04) : 957 - 964
  • [46] The exact likelihood function of a vector autoregressive moving average process
    Gallego, Jose L.
    [J]. STATISTICS & PROBABILITY LETTERS, 2009, 79 (06) : 711 - 714
  • [47] Erratum to: Beta autoregressive moving average models
    Andréa V. Rocha
    Francisco Cribari-Neto
    [J]. TEST, 2017, 26 : 451 - 459
  • [48] Inflated beta autoregressive moving average models
    Bayer, Fabio M.
    Pumi, Guilherme
    Pereira, Tarciana Liberal
    Souza, Tatiene C.
    [J]. COMPUTATIONAL & APPLIED MATHEMATICS, 2023, 42 (04):
  • [49] Inflated beta autoregressive moving average models
    Fábio M. Bayer
    Guilherme Pumi
    Tarciana Liberal Pereira
    Tatiene C. Souza
    [J]. Computational and Applied Mathematics, 2023, 42
  • [50] EXACT LIKELIHOOD FOR STATIONARY VECTOR AUTOREGRESSIVE MOVING AVERAGE PROCESSES
    DUGRE, JP
    SCHARF, LL
    GUEGUEN, C
    [J]. SIGNAL PROCESSING, 1986, 11 (02) : 105 - 118