ON THE CLOSED-FORM OF THE LIKELIHOOD FUNCTION OF THE FIRST-ORDER MOVING AVERAGE MODEL
成果类型：
Article
署名作者：
HADDAD, JN
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
发表日期：
1995
页码：
232234
关键词：
摘要：
The covariance matrix of a first order moving average process is expressed as the product of the covariance matrix of the dual autoregressive process of order one and a near identity matrix. Its inverse is then obtained. The closed form of the likelihood function is derived. A comparison is made with some approximate likelihood functions.