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Faster ARMA maximum likelihood estimation

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  • McLeod, A.I.
  • Zhang, Y.

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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.
    • Handle: RePEc:eee:csdana:v:52:y:2008:i:4:p:2166-2176
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    References listed on IDEAS

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    1. Zhang, Y. & McLeod, A.I., 2006. "Fitting MA(q) models in the closed invertible region," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1331-1334, July.
    2. A. I. McLeod, 1998. "Hyperbolic Decay Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(4), pages 473-483, July.
    3. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    4. Bo Wahlberg, 1989. "Estimation Of Autoregressive Moving‐Average Models Via High‐Order Autoregressive Approximations," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(3), pages 283-299, May.
    5. Zinde-Walsh, Victoria, 1988. "Some Exact Formulae for Autoregressive Moving Average Processes," Econometric Theory, Cambridge University Press, vol. 4(3), pages 384-402, December.
    6. Ullah, Aman, 2002. "Uses of entropy and divergence measures for evaluating econometric approximations and inference," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 313-326, March.
    7. 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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