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

S. Rao Jammalamadaka, Chengou Wu and Weiqung Wang

Journal of Time Series Analysis, 1999, vol. 20, issue 2, 223-235

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.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:20:y:1999:i:2:p:223-235

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