The Likelihood of an Autoregressive Scheme

  • M. Rosenblatt
Conference paper
Part of the Lecture Notes in Statistics book series (LNS, volume 115)

Keywords

Entropy Covariance 

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References

  1. [1]
    F. J. Breidt, R. A. Davis, K. S. Lii and M. Rosenblatt, “Maximum likelihood estimation for noncausal autoregressive processes,” J. Mult. Anal., 36, pp. 175–198, 1991.MathSciNetMATHCrossRefGoogle Scholar
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    P. Brockwell and R. Davis, Time Series: Theory and Methods, Springer-Verlag, 1991.CrossRefGoogle Scholar
  3. [3]
    H.-O. Georgii, Gibbs Measures and Phase Transitions, W. de Gruyter, 1988.CrossRefGoogle Scholar
  4. [4]
    U. Grenander and G. Szegö, Toeplitz Forms and Their Applications, University of California Press, 1958.MATHGoogle Scholar
  5. [5]
    M. Kramer, “The fluctuation of the Gaussian likelihood for stationary Gaussian sequences,” Ph.D. thesis, University of California, San Diego, 1993.Google Scholar
  6. [6]
    M. Rosenblatt, “Prediction and non-Gaussian autoregressive stationary sequences,” Ann. Appl. Prob. 5, p. 239–247, 1995.MathSciNetMATHCrossRefGoogle Scholar

Copyright information

© Springer-Verlag New York, Inc. 1996

Authors and Affiliations

  • M. Rosenblatt
    • 1
  1. 1.University of CaliforniaSan DiegoUSA

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