Computation of the exact likelihood function of an arima process
- 1 January 1977
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 5 (3), 193-206
- https://doi.org/10.1080/00949657708810151
Abstract
Acceptance of Arima processes as valuable univariate forecasting mechanisms is increasing. Maximum likelihood estimation of parameters is complicated, and least squares approximations are not always satisfactory. The singular vaiue decomposition is used here to determine numericaily accurate values of the likelihood function for a given set of parameter estimates. Suggestions for efficient computational search procedures of maximum likelihood estimators are made.Keywords
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