An algorithm for the exact likelihood of periodic autoregressive moving average models

Wai Keung LI, Y. V. HUI

Research output: Contribution to journalArticlespeer-review

20 Citations (Scopus)

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 languageEnglish
Pages (from-to)1483-1494
JournalCommunications in Statistics - Simulation and Computation
Volume17
Issue number4
DOIs
Publication statusPublished - 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: 10.1080/03610918808812737

Keywords

  • Autocovariance function
  • Exact likelihood
  • Periodic autoregressive moving average models

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