Exact maximum likelihood estimation for non-stationary periodic time series models The Fifth Special Issue on Computational Econometrics

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Bibliographic Details
Published inComputational statistics & data analysis Vol. 54; no. 11; pp. 2641 - 2654
Main Authors HINDRAYANTO, Irma, JAN KOOPMAN, Siem, OOMS, Marius
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier 2010
Subjects
Exact sciences and technology
General topics
Inference from stochastic processes; time series analysis
Mathematics
Multivariate analysis
Numerical analysis
Numerical analysis. Scientific computation
Numerical methods in probability and statistics
Probability and statistics
Sciences and techniques of general use
Statistics
Invariant
ARMA model
Time-varying parameters
Non parametric estimation
State space
Stochastic process
SARIMA models
Variance
Stationary series
Data analysis
Covariance analysis
Time series
Space time
Statistical estimation
Covariance matrix
State space method
Variance analysis
Unemployment
Statistical regression
Unobserved component models
Statistical computation
Model specification
Maximum likelihood
Autocorrelation
Moving average model
Computing method
State space methods
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ISSN:0167-9473
1872-7352