Can I use OLS to estimate an ARX(1) model?
106194
What's wrong if I fit the auto-regression with OLS?
1265
Is my model any good, based on the diagnostic metric ($R^2$/ AUC/ accuracy/ RMSE etc.) value?
24569
Why is forecasting of ARMA models performed by Kalman filter
90370
How to derive the ridge regression solution?
49886
ARIMA model identification
32161
Conditionally heteroskedastic linear regression: How can I model variance from given predictors?
73764
Fitting exponential (regression) model by MLE?
23377
The distribution of the initial point of an AR process
62481
Log or square-root transformation for ARIMA
113479
ARMA lag selection for ARMA-GARCH models
68045
Explicit solution for linear regression with two predictors
148034
Time Series: Confused about identification of (possibly?) an ARMA(p,q) model
27418
Identifiability of a state space model (Dynamic Linear Model)
141370
Linear Regression of Indicator Matrix: sum of predictions is 1
59398
Inverting logarithmic output from VAR model
103047
How to know the specific ARIMA model through its yt equation?
106358
How to make Kalman filter results equivalent to linear regression?