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- W1991569096 abstract "An ARMA(p, q) process observed with an ARMA(c, d) error has an ARMA (p + c, k) representation with k = max(c + q, p + d) whose parameters satisfy some nonlinear constraints. Identification of the model is discussed. We develop Newton-Raphson estimators for the ARMA(p + c, k) process which take advantage of the information contained in the nonlinear restrictions. Explicit expressions for the derivatives of the restrictions are derived." @default.
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- W1991569096 title "Maximum likelihood estimation for arma models in the presence of ARMA errors" @default.
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- W1991569096 doi "https://doi.org/10.1080/03610929708831967" @default.
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