Estimation in moving average models, why does it fail?

DOI10.1080/00949658208810614zbMath0493.62076OpenAlexW2031717237MaRDI QIDQ3956267

E. Damsleth

Publication date: 1982

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658208810614

zbMATH Keywords

biased estimatesseasonal modelsARIMA time series modelsback-forecasting methodmoving-average case

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• The exact likelihood function for a mixed autoregressive-moving average process
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process

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