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The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models

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  • M. Salau

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  • M. Salau, 2003. "The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models," Statistical Papers, Springer, vol. 44(1), pages 89-105, January.
    • Handle: RePEc:spr:stpapr:v:44:y:2003:i:1:p:89-105
    DOI: 10.1007/s00362-002-0135-6
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    References listed on IDEAS

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    1. Lewis, Richard & Reinsel, Gregory C., 1985. "Prediction of multivariate time series by autoregressive model fitting," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 393-411, June.
    2. D. S. Poskitt & M. O. Salau, 1995. "On The Relationship Between Generalized Least Squares And Gaussian Estimation Of Vector Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 617-645, November.
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    Cited by:

    1. Maddalena Cavicchioli, 2016. "Weak VARMA representations of regime-switching state-space models," Statistical Papers, Springer, vol. 57(3), pages 705-720, September.
    2. Mar Fenoy & Pilar Ibarrola & Juan B. Seoane-Sepúlveda, 2019. "Generalized p value for multivariate Gaussian stochastic processes in continuous time," Statistical Papers, Springer, vol. 60(6), pages 2013-2030, December.

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