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Biometrika 1981 68(1):320-322; doi:10.1093/biomet/68.1.320
© 1981 by Biometrika Trust
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MISCELLANEA

Estimation of the parameters of the Markovian representation of the autoregressive-moving average model

D. M. COOPER and E. F. WOOD

Institute of Hydrology Wallingford, Oxfordshire
Department of Civil Engineering, Princeton University New Jersey

Tuan (1978) discussed the approximate maximum likelihood estimation of the parameters of the Markovian representation of the autoregressive-moving average model. He considered an indirect method, using the equivalent quasiautoregressive moving average form, the parameters of which are in one to one correspondence with those of the Markovian representation. A method of finding exact joint maximum likelihood estimates of the parameters and the initial state of the process is described here.

Key Words: Exact likelihood • Markovian representation


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