September 1, 1979

Likelihood Function of Stationary Multiple Autoregressive Moving Average Models

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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.

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Hillmer et al. (Sat,) studied this question.

synapsesocial.com/papers/6a0fde462badbc352afeda72 https://doi.org/https://doi.org/10.1080/01621459.1979.10481666

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Journal of the American Statistical Association

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University of Wisconsin–Madison

University of Kansas

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Likelihood Function of Stationary Multiple Autoregressive Moving Average Models

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Resumen

Citation Network

Connected Papers

Cite This Study

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Discussion

Journals

Institutions

References and Citations

Also Consider