ECM-based maximum likelihood inference for multivariate linear mixed models with autoregressive errors
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- Chi, Eric M. & Reinsel, Gregory C., 1991. "Asymptotic properties of the score test for autocorrelation in a random effects with AR(1) errors model," Statistics & Probability Letters, Elsevier, vol. 11(5), pages 453-457, May.
- Lin, Tsung I. & Ho, Hsiu J., 2008. "A simplified approach to inverting the autocovariance matrix of a general ARMA(p,q) process," Statistics & Probability Letters, Elsevier, vol. 78(1), pages 36-41, January.
- Dankmar Böhning & Ekkehart Dietz & Rainer Schaub & Peter Schlattmann & Bruce Lindsay, 1994. "The distribution of the likelihood ratio for mixtures of densities from the one-parameter exponential family," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(2), pages 373-388, June.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hsiao, Cheng & Zhou, Qiankun, 2015. "Statistical inference for panel dynamic simultaneous equations models," Journal of Econometrics, Elsevier, vol. 189(2), pages 383-396.
- Wang, Wan-Lun & Fan, Tsai-Hung, 2012. "Bayesian analysis of multivariate t linear mixed models using a combination of IBF and Gibbs samplers," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 300-310.
- Paolo Vidoni, 2017. "Improved multivariate prediction regions for Markov process models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(1), pages 1-18, March.
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