A note on an alternative derivation of the likelihood of an autoregressive moving average process |
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Authors: | R Kohn |
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Institution: | University of Chicago, Chicago, IL 60637, USA |
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Abstract: | We give an alternative derivation of the likelihood of a Gaussian ARMA process to that usually given in the literature see, for example, Newbold (1974), Hillmer and Tiao (1979), and Nicholls and Hall (1979,1980)]. A different computing formula is also derived. |
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