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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 — DOI: https://doi.org/10.1080/01621459.1979.10481666
Steven C. Hillmer
United States Census Bureau
George C. Tiao
University of Illinois Chicago
Journal of the American Statistical Association
University of Wisconsin–Madison
University of Kansas
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