Abstract
An algorithm to compute the autocovariance functions of periodic autoregressive moving average models is proposed. As a result, an easily implemented algorithm for the exact likelihood of these models is rendered possible. Copyright © 1988 by Marcel Dekker, Inc.
Original language | English |
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Pages (from-to) | 1483-1494 |
Journal | Communications in Statistics - Simulation and Computation |
Volume | 17 |
Issue number | 4 |
DOIs | |
Publication status | Published - 1988 |
Citation
Li, W. K., & Hui, Y. V. (1988). An algorithm for the exact likelihood of periodic autoregressive moving average models. Communications in Statistics - Simulation and Computation, 17(4), 1483-1494. doi: 10.1080/03610918808812737Keywords
- Autocovariance function
- Exact likelihood
- Periodic autoregressive moving average models