Estimation in moving average models, why does it fail?

DOI10.1080/00949658208810614MaRDI QIDQ3956267zbMATH OpenOpenAlexFDO

Authors E. Damsleth

Publication date 1982

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658208810614

zbMATH Keywords

ARIMA time series modelsback-forecasting methodbiased estimatesmoving-average caseseasonal models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• The exact likelihood function for a mixed autoregressive-moving average process

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