Fitting MA(q) models in the closed invertible region
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- Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, December.
- Barndorff-Nielsen, O. & Schou, G., 1973. "On the parametrization of autoregressive models by partial autocorrelations," Journal of Multivariate Analysis, Elsevier, vol. 3(4), pages 408-419, December.
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- McLeod, A.I. & Zhang, Y., 2008. "Faster ARMA maximum likelihood estimation," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 2166-2176, January.
- F. Al-Awadhi & A. Soltani, 2009. "Thresholds of moving average of stationary processes for given on target significant levels," Computational Statistics, Springer, vol. 24(3), pages 431-440, August.
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Keywords
Admissible region for the autoregressive-moving average time series ARMA model reparameterization Numerical maximum likelihood estimation;Statistics
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