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The Influence of Numerical and Observational Errors on the Likelihood of an ARMA Series

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  • S. Rao Jammalamadaka
  • Chengou Wu
  • Weiqung Wang

Abstract

Formulae are established describing how the round‐off and observational errors influence the reduced likelihood function, as a step towards providing guidelines for such likelihood computations in a time series context. Error bounds are set up for Ali's method.

Suggested Citation

  • S. Rao Jammalamadaka & Chengou Wu & Weiqung Wang, 1999. "The Influence of Numerical and Observational Errors on the Likelihood of an ARMA Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(2), pages 223-235, March.
    • Handle: RePEc:bla:jtsera:v:20:y:1999:i:2:p:223-235
    DOI: 10.1111/1467-9892.00134
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