Fasen-Hartmann, Vicky; Mayer, Celeste Whittle estimation for continuous-time stationary state space models with finite second moments. (English) Zbl 07502570 Ann. Inst. Stat. Math. 74, No. 2, 233-270 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ursu, Eugen; Duchesne, Pierre On multiplicative seasonal modelling for vector time series. (English) Zbl 1171.62053 Stat. Probab. Lett. 79, No. 19, 2045-2052 (2009). MSC: 62M10 62H12 62F12 62H10 62F30 62E20 65C05 × Cite Format Result Cite Review PDF Full Text: DOI
Lee, Taewook; Lee, Sangyeol Test for parameter change in linear processes based on Whittle’s estimator. (English) Zbl 1124.62060 Commun. Stat., Theory Methods 36, No. 11, 2129-2141 (2007). MSC: 62M10 62G20 × Cite Format Result Cite Review PDF Full Text: DOI
Robinson, P. M.; Sanz, J. Vidal Modified Whittle estimation of multilateral models on a lattice. (English) Zbl 1099.62108 J. Multivariate Anal. 97, No. 5, 1090-1120 (2006). MSC: 62M30 62F10 62M10 65C05 62F12 × Cite Format Result Cite Review PDF Full Text: DOI
Hallin, Marc; Paindaveine, Davy Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors. (English) Zbl 1087.62098 J. Multivariate Anal. 93, No. 1, 122-163 (2005). MSC: 62M10 62G10 62H15 62J05 62G35 × Cite Format Result Cite Review PDF Full Text: DOI
Findley, David F.; Pötscher, Benedikt M.; Wei, Ching-Zong Modeling of time series arrays by multistep prediction or likelihood methods. (English) Zbl 1033.62092 J. Econom. 118, No. 1-2, 151-187 (2004). MSC: 62M20 62P20 60F15 60F05 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Kuersteiner, Guido M. Optimal instrumental variables estimation for ARMA models. (English) Zbl 0999.62070 J. Econom. 104, No. 2, 359-405 (2001). MSC: 62M10 62P20 62Q05 × Cite Format Result Cite Review PDF Full Text: DOI
Kammer, Leonardo C.; Bitmead, Robert R.; Bartlett, Peter L. Direct iterative tuning via spectral analysis. (English) Zbl 0976.93060 Automatica 36, No. 9, 1301-1307 (2000). Reviewer: Octavian Pastravanu (Iaşi) MSC: 93C80 93C41 93D25 93D09 × Cite Format Result Cite Review PDF Full Text: DOI
Sarkar, Sahadeb; Shin, Dong Wan A note on nonlinear regression for the autoregressive moving average with non-iid errors. (English) Zbl 0798.62092 Commun. Stat., Theory Methods 22, No. 9, 2445-2461 (1993). Reviewer: N.Leonenko (Kiev) MSC: 62M10 62J02 × Cite Format Result Cite Review PDF Full Text: DOI
Heyde, C. C.; Gay, R. Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence. (English) Zbl 0771.60021 Stochastic Processes Appl. 45, No. 1, 169-182 (1993). MSC: 60F05 × Cite Format Result Cite Review PDF Full Text: DOI
Hansen, Lars Peter; Sargent, Thomas J. Seasonally and approximation errors in rational expectations models. (English) Zbl 0755.62086 J. Econom. 55, No. 1-2, 21-55 (1993). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Van den Hof, Paul System order and structure indices of linear systems in polynomial form. (English) Zbl 0761.93046 Int. J. Control 55, No. 6, 1471-1490 (1992). MSC: 93C99 93C05 93C55 × Cite Format Result Cite Review PDF Full Text: DOI
Pötscher, Benedikt M.; Prucha, Ingmar R. Basic structure of the asymptotic theory in dynamic nonlinear econometric models. I: Consistency and approximation concepts. (English) Zbl 0737.62096 Econom. Rev. 10, No. 2, 125-216 (1991). Reviewer: J.K.Sengupta (Santa Barbara) MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Schmid, Wolfgang Outliers in a multivariate autoregressive moving-average process. (English) Zbl 0703.62094 Stochastic Processes Appl. 36, No. 1, 117-133 (1990). MSC: 62M10 62M09 62F03 × Cite Format Result Cite Review PDF Full Text: DOI
Dahlhaus, R.; Pötscher, B. M. Convergence results for maximum likelihood type estimators in multivariable ARMA models. II. (English) Zbl 0682.62067 J. Multivariate Anal. 30, No. 2, 241-244 (1989). MSC: 62M10 62M15 93E10 × Cite Format Result Cite Review PDF Full Text: DOI
Deistler, M.; Wang, Liqun The common structure of parametrizations for linear systems. (English) Zbl 0679.93068 Linear Algebra Appl. 122-124, 921-941 (1989). MSC: 93E03 93B10 93C05 93E12 × Cite Format Result Cite Review PDF Full Text: DOI
Deistler, Manfred; Gevers, Michel Properties of the parametrization of monic ARMA systems. (English) Zbl 0674.93059 Automatica 25, No. 1, 87-95 (1989). MSC: 93E03 62M10 93E12 × Cite Format Result Cite Review PDF Full Text: DOI
Hervás Martínez, César Goodness-of-fit test for multiple time series models. (Spanish. English summary) Zbl 0731.62137 Trab. Estad. 2, No. 2, 23-32 (1987). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Pötscher, B. M. Convergence results for maximum likelihood type estimators in multivariable ARMA models. (English) Zbl 0626.62089 J. Multivariate Anal. 21, 29-52 (1987). Reviewer: E.J.Hannan MSC: 62M10 60F15 62M09 62M15 × Cite Format Result Cite Review PDF Full Text: DOI
Pötscher, B. M. The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model. (English) Zbl 0606.62101 Metrika 32, 129-150 (1985). Reviewer: J.Anděl MSC: 62M10 62M07 × Cite Format Result Cite Review PDF Full Text: DOI EuDML
Milhøj, Anders Multiplicative exponential models for stationary time series. (English) Zbl 0544.62087 J. Time Ser. Anal. 5, 19-35 (1984). Reviewer: H.Hietikko MSC: 62M15 62M10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
An, Hong-Zhi; Chen, Zhao-Guo; Hannan, E. J. A note on ARMA estimation. (English) Zbl 0517.62089 J. Time Ser. Anal. 4, 9-17 (1983). MSC: 62M10 60G10 × Cite Format Result Cite Review PDF Full Text: DOI
Hannan, E. J. Estimating the dimension of a linear system. (English) Zbl 0501.93065 J. Multivariate Anal. 11, 459-473 (1981). MSC: 93E12 60G10 93E10 62M99 × Cite Format Result Cite Review PDF Full Text: DOI
Deistler, M.; Hannan, E. J. Some properties of the parameterization of ARMA systems with unknown order. (English) Zbl 0483.62077 J. Multivariate Anal. 11, 474-484 (1981). MSC: 62M10 93B30 93E12 62F10 93E10 × Cite Format Result Cite Review PDF Full Text: DOI
Anderson, T. W.; Mentz, Raul P. On the structure of the likelihood function of autoregressive and moving average models. (English) Zbl 0499.62084 J. Time Ser. Anal. 1, 83-94 (1980). MSC: 62M10 62M09 62F10 × Cite Format Result Cite Review PDF Full Text: DOI
Hannan, E. J.; Dunsmuir, W. T. M.; Deistler, M. Estimation of vector Armax models. (English) Zbl 0445.62098 J. Multivariate Anal. 10, 275-295 (1980). MSC: 62M10 60F05 62F12 × Cite Format Result Cite Review PDF Full Text: DOI
Kohn, R. Local identification of ARMAX structures subject to nonlinear constraints. (English) Zbl 0432.62060 Metrika 27, 35-41 (1980). Reviewer: N. U. Prabhu MSC: 62M10 91B84 × Cite Format Result Cite Review PDF Full Text: DOI EuDML