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zbMath0494.62078MaRDI QIDQ3957826

Frank D. J. Dunstan, Siok Y. Barham

Publication date: 1982

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

EM algorithm time series Kalman filter missing observations asymptotic results method of moments ARMA models estimation procedures method of Dunsmuir and Robinson Monte Carlo comparison of methods

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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Un algoritmo iterativo para la estimacion de modelos arma con ausencia de observaciones

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