Parameter Estimation in Linear Regression Models With Stationary Arma(p,q)-Errors Using Automatic Differentiation

Herbert Fischer; Stefan Schaffler; Hubert Warsitz

The Yugoslav Journal of Operations Research (1992)

  • Volume: 2, Issue: 3, page 55-68
  • ISSN: 0354-0243

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Herbert Fischer, Stefan Schaffler, and Hubert Warsitz. "Parameter Estimation in Linear Regression Models With Stationary Arma(p,q)-Errors Using Automatic Differentiation." The Yugoslav Journal of Operations Research 2.3 (1992): 55-68. <http://eudml.org/doc/261728>.

@article{HerbertFischer1992,
author = {Herbert Fischer, Stefan Schaffler, Hubert Warsitz},
journal = {The Yugoslav Journal of Operations Research},
keywords = {automatic differentiation; time series analysis; exact ML-estimation; stationary residuals; gradient; Hessian matrix; likelihood function; stationarity region; nonlinear inequalities; unconstrained nonlinear programming problems},
language = {eng},
number = {3},
pages = {55-68},
publisher = {Faculty of Organizational Sciences},
title = {Parameter Estimation in Linear Regression Models With Stationary Arma(p,q)-Errors Using Automatic Differentiation},
url = {http://eudml.org/doc/261728},
volume = {2},
year = {1992},
}

TY - JOUR
AU - Herbert Fischer
AU - Stefan Schaffler
AU - Hubert Warsitz
TI - Parameter Estimation in Linear Regression Models With Stationary Arma(p,q)-Errors Using Automatic Differentiation
JO - The Yugoslav Journal of Operations Research
PY - 1992
PB - Faculty of Organizational Sciences
VL - 2
IS - 3
SP - 55
EP - 68
LA - eng
KW - automatic differentiation; time series analysis; exact ML-estimation; stationary residuals; gradient; Hessian matrix; likelihood function; stationarity region; nonlinear inequalities; unconstrained nonlinear programming problems
UR - http://eudml.org/doc/261728
ER -

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