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Biometrika 1976 63(2):381-390; doi:10.1093/biomet/63.2.381
© 1976 by Biometrika Trust
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The efficient estimation of vector linear time series models

D. F. NICHOLLS

Department of Statistics, Australian National University Canberra

A procedure is given to estimate efficiently the coefficients of a general class of vector linear time series models. The procedure is based on spectral techniques. The estimated model is shown to contain, as particular cases, many of the time series models which have appeared in the literature.

Key Words: Autoregressive-moving average models • Maximum likelihood • Spectral density • Time series


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