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Biometrika 1982 69(1):265-268; doi:10.1093/biomet/69.1.265
© 1982 by Biometrika Trust
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MISCELLANEA

The likelihood function for a stationary Gaussian autoregressive-moving average process with missing observations

GRETA M. LJUNG

School of Management, Boston University Massachusetts

The likelihood function for an autoregressive-moving average process observed at n equally spaced time points has a well-known form. This note gives an expression for the likelihood function when some observations are missing from the series and shows how the missing observations may be estimated from the available data.

Key Words: Autoregressive-moving average process • Likelihood function • Missing observations • Time series


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