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Original Articles

Maximum Likelihood Fitting of ARMA Models to Time Series With Missing Observations

Pages 389-395 | Published online: 23 Mar 2012

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C.F. Ansley & R. Kohn. (1985) A structured state space approach to computing the likelihood of an ARIMA process and its derivatives. Journal of Statistical Computation and Simulation 21:2, pages 135-169.
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Robert Kohn & Craig Ansley. (1982) A note on obtaining the theoretical autocovariances of an ARMA process. Journal of Statistical Computation and Simulation 15:4, pages 273-283.
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