On the closed form of the likelihood function of the first order moving average model

DOI10.1093/biomet/82.1.232zbMath0823.62073OpenAlexW2135858664MaRDI QIDQ4842919

John N. Haddad

Publication date: 16 August 1995

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/82.1.232

zbMATH Keywords

covariance matrixinversefirst order moving average processclosed form of the likelihood functiondual autoregressive processnear identity matrix

Mathematics Subject Classification ID

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

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