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Biometrika 1995 82(1):232-234; doi:10.1093/biomet/82.1.232
© 1995 by Biometrika Trust
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MISCELLANEA

On the closed form of the likelihood function of the first order moving average model

JOHN N. HADDAD

National water Research Institute Burlington, Ontario, Canada L7R 4A6

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.

Key Words: Closed form of the likelihood function • Moving average process


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