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FIRST ORDER AUTO‐REGRESSIVE MODEL PARAMETER ESTIMATION WITH PERIODIC OBSERVATIONS
Author(s) -
Murthy D. N. P.
Publication year - 1985
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.1467-9892.1985.tb00400.x
Subject(s) - mathematics , autoregressive model , estimation , econometrics , statistics , order (exchange) , management , economics , finance
. In this note we study the method of maximum likelihood for estimating the parameters of a first order auto‐regressive model with periodic observation pattern.