Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data

DOI10.1111/1467-9892.01639MaRDI QIDQ4544838zbMATH OpenOpenAlexFDO

Authors C. Ma

Publication date 5 August 2002

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.01639, https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=309267

zbMATH Keywords

ARMA modelincomplete datalikelihood functionmaximum likelihood estimation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Let \(\{X(t)\}\) denote a time series generated by the equation \[ X(t)=\theta X(t-1)+Z(t)-\theta Z(t-1), \] where \(\{Z(t)\}\) is Gaussian white noise. The author deals with the problem: how can one obtain exact likelihood estimates for parameters of the \(ARMA(1,1)\) model with nonconsecutively observed or missing data. For this purpose, the author obtains the Cholesky decomposition for the inverse of the covariance matrix without any assumptions, such as stationarity or invertibility of the process. This results leads to a closed form of the likelihood function. Then a simple method based on the Plackett equation is proposed for finding the exact maximum likelihood estimator of the parameters for the ARMA model in the stationary case.

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Cites work

• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• On the inverses of some patterned matrices arising in the theory of stationary time series
• The exact likelihood function for a mixed autoregressive-moving average process
• The exact likelihood of an autoregressive-moving average model with incomplete data

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• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models

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