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Original Articles

Estimation in moving average models, why does it fail?

Pages 109-128 | Received 04 Jan 1982, Published online: 20 Mar 2007

References

  • Ansley , C.F. 1979 . An algorithm for the exact likelihood of a mixed autoregressivemoving average process . Biometrika , 66 : 59 – 66 .
  • Box , G.E.P. and Jenkins , G.M. 1970 . Time Series Analysis, Forecasting and Control , San Francisco : Holden Day .
  • Harvey , A.C. and Phillips , G.D.A. 1979 . Maximum likelihood estimation of regression models with autoregressive-moving average disturbances . Biometrika , 66 : 49 – 58 .
  • Jones , R.H. 1980 . Maximum likelihood fitting of ARMA models to time series with missing observations . Technornetrics , 22 : 389 – 395 .
  • Newbold , P. 1974 . The exact likelihood function for a mixed autoregressive-moving average process . Biometrika , 61 : 423 – 426 .
  • Stordahl K. Bakken T. Damsleth E. Engebretsen J.D. Lundamo H. Sollie B. H. Korttids prognosemodeller basert på tidsrekke-analyse Televerkets forskningsinstitutt Oslo, , Norwegian 1979 Report no. 10179

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