An algorithm for the exact likelihood of a mixed autoregressive-moving average process
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Publication:4197926
DOI10.1093/biomet/66.1.59zbMath0411.62059MaRDI QIDQ4197926
Publication date: 1979
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/66.1.59
algorithm; time series; Cholesky decomposition; exact likelihood function; autoregressive-moving average model; multiplicative seasonal model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
68Q25: Analysis of algorithms and problem complexity
65C99: Probabilistic methods, stochastic differential equations
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