Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data

DOI10.1111/1467-9892.01639zbMath0991.62066OpenAlexW3124685850MaRDI QIDQ4544838

Chunsheng Ma

Publication date: 5 August 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.01639

zbMATH Keywords

maximum likelihood estimationincomplete datalikelihood functionARMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Cites Work

• Unnamed Item
• The exact likelihood function for a mixed autoregressive-moving average process
• The exact likelihood of an autoregressive-moving average model with incomplete data
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• On the inverses of some patterned matrices arising in the theory of stationary time series
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS

This page was built for publication: Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data