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

Chunsheng Ma

Journal of Time Series Analysis, 2002, vol. 23, issue 1, 49-56

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.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:23:y:2002:i:1:p:49-56

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