Determination of initial values for the unconditional likelihood function of a moving averages process

MaRDI QIDQ3365724zbMATH OpenFDO

Authors Meghlaoui Dakhmouche

Publication date 23 January 2006

zbMATH Keywords

time seriesARMA modelslikelihood functionautocovariance functionsum of squares functionbackward representation of processesforecast functionforward representation of processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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