Abstract
Tuan (1978) discussed the approximate maximum likelihood estimation of the parameters of the Markovian representation of the autoregressive-moving average model. He considered an indirect method, using the equivalent quasiautoregressive moving average form, the parameters of which are in one to one correspondence with those of the Markovian representation. A method of finding exact joint maximum likelihood estimates of the parameters and the initial state of the process is described here.
Original language | English (US) |
---|---|
Pages (from-to) | 320-322 |
Number of pages | 3 |
Journal | Biometrika |
Volume | 68 |
Issue number | 1 |
DOIs | |
State | Published - Apr 1981 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- General Mathematics
- Agricultural and Biological Sciences (miscellaneous)
- General Agricultural and Biological Sciences
- Statistics, Probability and Uncertainty
- Applied Mathematics
Keywords
- Exact likelihood
- Markovian representation