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Algorithm AS197: A fast algorithm for the exact likelihood of autoregressive-moving average models

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  • Guy Melard

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  • Guy Melard, 1984. "Algorithm AS197: A fast algorithm for the exact likelihood of autoregressive-moving average models," ULB Institutional Repository 2013/13692, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/13692
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/13692/1/AS197.pdf
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    Cited by:

    1. Vicente Martínez, Eva, 2006. "Properties of two U.S. inflation measures (1985-2005)," DES - Working Papers. Statistics and Econometrics. WS ws066818, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. André Klein & Guy Melard & Toufik Zahaf, 1998. "Computation of the exact information matrix of Gaussian dynamic regression time series models," ULB Institutional Repository 2013/13738, ULB -- Universite Libre de Bruxelles.
    3. Pawel Kaczmarczyk, 2017. "Microeconometric Analysis of Telecommunication Services Market with the Use of SARIMA Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 41-57.
    4. Gómez, Víctor & Maravall, Agustín, 1993. "Computing missing values in time series," DES - Working Papers. Statistics and Econometrics. WS 3737, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Masoud, Alaa A., 2022. "On the Nile Fan's wave power potential and controlling factors integrating spectral and geostatistical techniques," Renewable Energy, Elsevier, vol. 196(C), pages 921-945.
    6. Guy Melard, 1994. "Modèles linéaires et non linéaires," ULB Institutional Repository 2013/13804, ULB -- Universite Libre de Bruxelles.
    7. Rajae Azrak & Guy Melard, 1998. "The exact quasi-likelihood of time dependent ARMA models," ULB Institutional Repository 2013/13740, ULB -- Universite Libre de Bruxelles.
    8. Rajae Azrak & Guy Melard, 1993. "Exact maximum likelihood estimation for extended ARIMA models," ULB Institutional Repository 2013/13802, ULB -- Universite Libre de Bruxelles.

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