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- W2334616557 abstract "SUMMARY An explicit procedure is given to obtain the exact maximum likelihood estimates of the parameters in a regression model with ARMA time series errors with possibly nonconsecutive data. The method is based on an innovation transformation approach from which an explicit recursive procedure is derived for the efficient calculation of the exact likelihood function and associated derivatives. The innovations and associated derivatives are used to develop a modified Newton‐Raphson procedure for computation of the estimates. A weighted nonlinear least squares interpretation of the estimator is also given. A numerical example is provided to illustrate the method." @default.
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- W2334616557 date "1986-07-01" @default.
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- W2334616557 title "An Exact Maximum Likelihood Estimation Procedure for Regression-<i>ARMA</i> Time Series Models with Possibly Nonconsecutive Data" @default.
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- W2334616557 doi "https://doi.org/10.1111/j.2517-6161.1986.tb01414.x" @default.
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