Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data |
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| Authors: | CHUNSHENG MA |
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| Affiliation: | Wichita State University |
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| 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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| Keywords: | ARMA(1, 1) process incomplete data likelihood function maximum likelihood estimation |
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