An algorithm for the exact likelihood of a mixed autoregressive-moving average process
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Publication:4197926
DOI10.1093/biomet/66.1.59zbMath0411.62059OpenAlexW2163541182MaRDI QIDQ4197926
Publication date: 1979
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/66.1.59
algorithmtime seriesCholesky decompositionexact likelihood functionautoregressive-moving average modelmultiplicative seasonal model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of algorithms and problem complexity (68Q25) Probabilistic methods, stochastic differential equations (65C99)
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