ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS

T. W. Anderson and Raúl P. Mentz

Journal of Time Series Analysis, 1980, vol. 1, issue 2, 83-94

Abstract: Abstract. In finite order normal moving average models the maximum likelihood estimates always exist. For finite order normal autoregressive models sufficient conditions for the existence of maximum likelihood estimates is given. Some cases not satisfying the conditions are studied.

Date: 1980
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