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An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering
Author(s) -
Gardner G.,
Harvey A. C.,
Phillips G. D. A.
Publication year - 1980
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2346910
Subject(s) - kalman filter , autoregressive model , maximum likelihood , algorithm , moving horizon estimation , estimation , autoregressive–moving average model , mathematics , estimation theory , star model , statistics , computer science , autoregressive integrated moving average , extended kalman filter , engineering , time series , systems engineering
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