✦ LIBER ✦

Estimating the Order of an Autoregressive Model Using Normalized Maximum Likelihood

✍ Scribed by Schmidt, D.F.; Makalic, E.

Book ID: 119823726
Publisher: IEEE
Year: 2011
Tongue: English
Weight: 363 KB
Volume: 59
Category: Article
ISSN: 1053-587X
DOI: 10.1109/tsp.2010.2091956

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Full maximum likelihood estimation of se

Full maximum likelihood estimation of second- order autoregressive error models

✍ Charles M. Beach; James G. MacKinnon 📂 Article 📅 1978 🏛 Elsevier Science 🌐 English ⚖ 710 KB

Maximum likelihood estimation of higher-

Maximum likelihood estimation of higher-order integer-valued autoregressive processes

✍ Ruijun Bu; Brendan McCabe; Kaddour Hadri 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 182 KB

OPTIMALITY OF THE MAXIMUM LIKELIHOOD EST

OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES

✍ Piotr W. Mikulski; Michael J. Monsour 📂 Article 📅 1991 🏛 John Wiley and Sons 🌐 English ⚖ 551 KB

Exact maximum-likelihood estimation of a

Exact maximum-likelihood estimation of autoregressive models via the Kalman filter

✍ Francis X. Diebold 📂 Article 📅 1986 🏛 Elsevier Science 🌐 English ⚖ 269 KB

Asymptotic properties of the maximum lik

Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process

✍ Yasunori Fujikoshi; Yoshimichi Ochi 📂 Article 📅 1984 🏛 Springer Japan 🌐 English ⚖ 426 KB

Estimating parameters of a multiple auto

Estimating parameters of a multiple autoregressive model by the modified maximum likelihood method

✍ Özlem Türker Bayrak; Ayşen D. Akkaya 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 586 KB

We consider a multiple autoregressive model with non-normal error distributions, the latter being more prevalent in practice than the usually assumed normal distribution. Since the maximum likelihood equations have convergence problems (Puthenpura and Sinha, 1986) [11], we work out modified maximum