Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
By Qiwei Yao, Peter J. Brockwell. 2006
65 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Environmental Engineering, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/5f00acae1b9a4926b4e1ad2a0b0a4b3b96ed710b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- K. Zhu
- S. Ling
- Qiwei Yao
- Peter J. Brockwell
- Christian Francq
- Jean-Michel Zakoian
- Michael Mcaleer
- V. Todorov
In Environmental Engineering
In Statistics and Probability
- K. Zhu
- S. Ling
- Qiwei Yao
- Christian Francq
- Jean-Michel Zakoian
- Peter J. Brockwell
- Dong Li
- T. Marquardt
Citations in the corpus
- LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises (2015, background): “For example, when Eε2t ∞, Brockwell and Davis (1991) studied the Gaussian maximum likelihood estimator (GMLE) in the frequency-domain and Yao and Brockwell (2006) studied the same estimator in the timedomain, see also Davis and Dunsmuir (1997) for the local least absolute deviation estimator…”
- Gaussian maximum likelihood estimation for ARMA models II: Spatial processes (2006, background): “domain approach of Yao and Brockwell (2005) , although the proposed modified GMLE shares the”