论文信息 - Likelihood Function of Stationary Multiple Autoregressive Moving Average Models

Likelihood Function of Stationary Multiple Autoregressive Moving Average Models

Abstract Procedures to estimate parameters in multivariate autoregressive moving average (ARMA) models are developed. Gaussian errors are assumed. Exact maximum likelihood estimation procedures are developed for pure moving average models. Approximate procedures are obtained to estimate stationary mixed ARMA models. Properties of the estimates and an example are given.

Steven C. Hillmer | G. C. Tiao | George C. Tiao | G. Tiao

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