ALGORITHM FOR THE EXACT LIKELIHOOD OF A MIXED AUTOREGRESSIVE-MOVING AVERAGE PROCESS

被引：170
作者：
ANSLEY, CF
机构：
[1] Graduate School of Business, University of Chicago, Illinois
来源：
BIOMETRIKA | 1979年 / 66卷 / 01期
关键词：
Autoregressive-moving average model; Exact likelihood function; Multiplicative seasonal model; Time series;
D O I：
10.1093/biomet/66.1.59
中图分类号：
Q [生物科学];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
SUMMARY: The likelihood function for an autoregressive-moving average process is obtained by transforming the process to obtain a band covariance matrix whose Cholesky decomposition can be readily computed. Refinements are given for pure autoregressive and multiplicative seasonal processes. Evidence is presented to show that this approach allows more efficient computation than other methods proposed in the literature. © 1979 Biometrika Trust.
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页码：59 / 65
页数：7
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