The exact likelihood of an autoregressive-moving average model with incomplete data

DOI10.1093/BIOMET/84.4.919MaRDI QIDQ4376602zbMATH OpenOpenAlexFDO

Authors

Publication date 11 February 1998

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/84.4.919

zbMATH Keywords

time seriesmissing valuesCholesky decompositiontransformationexact likelihoodautoregressive integrated moving average model

Mathematics Subject Classification ID

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

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Cited in

(8)

• The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
• The auto-regression and the moving-average
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• Stable spline identification of linear systems under missing data
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• The exact Gaussian likelihood estimation of time-dependent VARMA models
• Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data

Describes a project that uses

Uses Software

• AS 197

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