Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering

DOI10.2307/2346910zbMath0471.62098OpenAlexW2366141733MaRDI QIDQ3925043

No author found.

Publication date: 1980

Published in: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2346910

zbMATH Keywords

Fortran 66algorithm AS 154

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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