The exact likelihood of an autoregressive-moving average model with incomplete data

Biometrika

Volumn 84, Issue 4, 1997, Pages 919-928

  Penzer, Jeremy ^a   Shea, Brian ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b MANCHESTER METROPOLITAN UNIVERSITY   (United Kingdom)

Author keywords

Autoregressive integrated moving average model; Cholesky decomposition; Exact likelihood function; Missing values; Time series

Indexed keywords

EID: 0038473188     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/84.4.919     Document Type: Article

References (22)

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