Estimation of the parameters of the Markovian representation of the autoregressive-moving average model

D. M. Cooper, Eric F. Wood

Research output: Contribution to journalArticle

3 Scopus citations

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 languageEnglish (US)
Pages (from-to)320-322
Number of pages3
JournalBiometrika
Volume68
Issue number1
DOIs
StatePublished - Apr 1 1981

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Mathematics(all)
  • Agricultural and Biological Sciences (miscellaneous)
  • Agricultural and Biological Sciences(all)
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

Keywords

  • Exact likelihood
  • Markovian representation

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