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

DOI10.1093/BIOMET/84.4.919zbMATH Open0892.62070OpenAlexW1979576253MaRDI QIDQ4376602FDOQ4376602

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

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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)

Cited In (8)

• The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
• Title not available (Why is that?)
• The auto-regression and the moving-average
• Stable spline identification of linear systems under missing data
• Exact likelihood function for a regression model with \(MA(1)\) errors
• Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data
• 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

Uses Software

• AS 197

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