Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data

DOI10.1111/1467-9892.01639MaRDI QIDQ4544838zbMATH OpenOpenAlexFDO

Authors C. Ma

Publication date 5 August 2002

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.01639

zbMATH Keywords

ARMA modelincomplete datalikelihood functionmaximum likelihood estimation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• On the inverses of some patterned matrices arising in the theory of stationary time series
• The exact likelihood function for a mixed autoregressive-moving average process
• The exact likelihood of an autoregressive-moving average model with incomplete data

Cited in

(3)

• scientific article; zbMATH DE number 987381 (Why is no real title available?)
• scientific article; zbMATH DE number 4011713 (Why is no real title available?)
• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models

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