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

 

作者: W.K. Li,   Y.V. Hui,  

 

期刊: Communications in Statistics - Simulation and Computation  （Taylor Available online 1988）
卷期: Volume 17, issue 4  

页码: 1483-1494

 

ISSN:0361-0918

 

年代: 1988

 

DOI:10.1080/03610918808812737

 

出版商: Marcel Dekker, Inc.

 

关键词: Autocovariance function;Exact likelihood;Periodic autoregressive moving average models

 

数据来源: Taylor

 

摘要:

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.

 

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