MAXIMUM LIKELIHOOD ESTIMATION OF PARAMETERS OF AUTOREGRESSIVE PROCESSES WITH MOVING AVERAGE RESIDUALS AND OTHER COVARIANCE MATRICES WITH LINEAR STRUCTURE

被引：31

作者：

ANDERSON, TW

机构：

[1] LONDON SCH ECON,LONDON,ENGLAND

[2] STANFORD UNIV,DEPT STATISTICS,STANFORD,CA 94305

来源：

关键词：

D O I：

10.1214/aos/1176343285

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

引用

页码：1283 / 1304

页数：22

共 20 条

AKAIKE, H .

ANDERSON, TW .

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[6]

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[7]

Anderson TW., 1958, INTRO MULTIVARIATE S

[8]

ASTROM KJ, 1966, THEORY SELF ADAPTIVE, P96

[9]

Box George E. P, 1970, J AM STAT ASS

[10]

CLEVENSON M, 1970, ASYMPTOTICALLY EFFIC