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Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data

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  • CHUNSHENG MA

Abstract

For a first‐order autoregressive and first‐order moving average model with nonconsecutively observed or missing data, the closed form of the exact likelihood function is obtained, and the exact maximum likelihood estimation of parameters is derived in the stationary case.

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  • Chunsheng Ma, 2002. "Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(1), pages 49-56, January.
    • Handle: RePEc:bla:jtsera:v:23:y:2002:i:1:p:49-56
    DOI: 10.1111/1467-9892.01639
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