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

For a first-order autoregressive and first-order moving average model with nonconsecutively observed or missing data, the closed form of the exact likelihood function is obtained, and the exact maximum likelihood estimation of parameters is derived in the stationary case

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Year of publication:	2004
Authors:	Ma, Chunsheng
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| ARMA-Modell \| ARMA model

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014117512