Premium
ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS
Author(s) -
Anderson T. W.,
Mentz Raúl P.
Publication year - 1980
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1980.tb00302.x
Subject(s) - mathematics , autoregressive model , maximum likelihood , likelihood function , star model , restricted maximum likelihood , econometrics , statistics , order (exchange) , autoregressive integrated moving average , time series , economics , finance
. In finite order normal moving average models the maximum likelihood estimates always exist. For finite order normal autoregressive models sufficient conditions for the existence of maximum likelihood estimates is given. Some cases not satisfying the conditions are studied.