Sufficient statistics for ARMA models with some fixed parameters

Sahib Esa; Georgi Boshnakov

doi:10.1080/03610929808832147

Sufficient statistics for ARMA models with some fixed parameters

Research output: Contribution to journal › Article › peer-review

Abstract

The likelihood function of ARMA processes with some fixed parameters is considered. An expression for it and a sufficient statistic are obtained. It is shown how the proposed approach can be used to obtain closed form expressions for the likelihood functions of some ARMA models. Applications to parameter estimation, hypothesis testing, speech processing and related problems are discussed. Copyright © 1998 by Marcel Dekker, Inc.

Original language	English
Pages (from-to)	1083-1099
Number of pages	16
Journal	Communications in Statistics - Theory and Methods
Volume	27
Issue number	5
DOIs	https://doi.org/10.1080/03610929808832147
Publication status	Published - 1998

Keywords

ARMA
Data reduction
Sufficient statistics

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10.1080/03610929808832147

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title = "Sufficient statistics for ARMA models with some fixed parameters",

abstract = "The likelihood function of ARMA processes with some fixed parameters is considered. An expression for it and a sufficient statistic are obtained. It is shown how the proposed approach can be used to obtain closed form expressions for the likelihood functions of some ARMA models. Applications to parameter estimation, hypothesis testing, speech processing and related problems are discussed. Copyright {\textcopyright} 1998 by Marcel Dekker, Inc.",

keywords = "ARMA, Data reduction, Sufficient statistics",

author = "Sahib Esa and Georgi Boshnakov",

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AU - Esa, Sahib

AU - Boshnakov, Georgi

PY - 1998

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AB - The likelihood function of ARMA processes with some fixed parameters is considered. An expression for it and a sufficient statistic are obtained. It is shown how the proposed approach can be used to obtain closed form expressions for the likelihood functions of some ARMA models. Applications to parameter estimation, hypothesis testing, speech processing and related problems are discussed. Copyright © 1998 by Marcel Dekker, Inc.

KW - ARMA

KW - Data reduction

KW - Sufficient statistics

U2 - 10.1080/03610929808832147

DO - 10.1080/03610929808832147

M3 - Article

SN - 1532-415X

VL - 27

SP - 1083

EP - 1099

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 5

ER -

Sufficient statistics for ARMA models with some fixed parameters

Abstract

Keywords

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