Linear relations in time series models. I

C. Villegas

Journal of Multivariate Analysis, 1976, vol. 6, issue 1, 31-45

Abstract: A multiple time series is defined as the sum of an autoregressive process on a line and independent Gaussian white noise on a hyperplane that goes through the origin and intersects the line at a single point. This process is a multiple autoregressive time series in which the regression matrices satisfy suitable conditions. It is shown that the maximum likelihood estimates of the line and the autoregression coefficients can be obtained as the values that minimize a given function, and that the remaining maximum likelihood estimates can be computed as simple functions of the first ones. It is also shown that the maximum likelihood estimates are equivariant with respect to the group of bijective linear transformations.

Keywords: 62M10; 62E10 (search for similar items in EconPapers)
Date: 1976
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