Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations

time series; covariance function; missing observations; Akaike information criterion; spectral density; state space; maximum likelihood fitting of ARMA models

Mathematics Subject Classification ID

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

60G15: Gaussian processes

62M09: Non-Markovian processes: estimation

62F10: Point estimation

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