Maximum likelihood estimation for all-pass time series models

By B. Andrews, Richard A. Davis, F. J. Breidt. 2006

80 citations recorded by the source corpus.

Subfields: Analytical Chemistry, Applied Mathematics, Control and Systems Engineering

View Paper: https://www.semanticscholar.org/paper/41ca176f48896af41da8e7004271024f820881d7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

1. Markku Lanne
2. Mika Meitz
3. Pentti Saikkonen

Citations in the corpus

• Optimal Forecasting of Noncausal Autoregressive Time Series (2012, unknown): “The major references in the relatively scant statistical literature on noncausal AR models include Breidt et al. (1991) and Rosenblatt (2000).”
• Identification and estimation of non-Gaussian structural vector autoregressions (2015, background): “(1991), Andrews et al. (2006), Lanne and Saikkonen (2011), Meitz and Saikkonen (2013), and the references therein), although their formulation is somewhat different.”
• NONCAUSAL VECTOR AUTOREGRESSION (2013, unknown): “From (2) it follows that the process yt itself has the representation yt = ∞ ∑ j=−∞ Ψj t−j, (5)”
• Noncausal Autoregressions for Economic Time Series (2010, unknown): “Mathematical appendix We shall first present the regularity conditions (A1)—(A7) of Andrews et al. (2006).”