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AS 191

Algorithm AS 191. An algorithm for approximate likelihood calculation of ARMA and seasonal ARMA models.

Keywords for this software

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  • regression analysis
  • graphics
  • statistical algorithms
  • variance analysis
  • likelihood function
  • order statistics
  • multivariate analysis
  • time series analysis
  • distributions
  • estimation of parameters
  • contemporaneous autoregressive moving average models
  • computer programs
  • multivariate least squares
  • hypothesis testing
  • diagrams
  • maximum likelihood estimation
  • matrix algebra
  • experimental design
  • stochastic hydrology
  • generation of pseudo random numbers
  • confidence and tolerance intervals
  • FFT
  • multivariate modelling
  • time series
  • contingency tables
  • ARMA process
  • innovation algorithm
  • cluster analysis
  • nonparametric estimates

  • URL: www.jstor.org/stable/2...
  • InternetArchive
  • Authors: A. I. McLeod; P. R. H. Sales

  • Add information on this software.


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References in zbMATH (referenced in 3 articles )

Showing results 1 to 3 of 3.
y Sorted by year (citations)

  1. Boularouk, Y.; Djeddour, K.: New approximation for ARMA parameters estimate (2015)
  2. Martynov, G. V.: Probabilistic-statistical programs from “Applied Statistics” (1990)
  3. Camacho, F.; McLeod, A. I.; Hipel, K. W.: Multivariate contemporaneous ARMA model with hydrological applications (1987)

  • Article statistics & filter:

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  • MSC classification / top
    • Top MSC classes
      • 62 Statistics
      • 65 Numerical analysis
      • 76 Fluid mechanics
      • 86 Geophysics

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