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

DOI10.1111/1467-9892.01639zbMATH Open0991.62066OpenAlexW3124685850MaRDI QIDQ4544838FDOQ4544838

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

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zbMATH Keywords

maximum likelihood estimationincomplete dataARMA modellikelihood function

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
• 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
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model

Cited In (3)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models

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