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- W302148889 abstract "It is well known (Ansley and Newbold 1980; Hillmer and Tiao 1979) that exact maximum likelihood estimation (EMLE) of time series models is usually preferable to other approximate estimation criteria. This is especially true in the case of small-to moderate-sized samples and/or parameters close to the boundaries of the admissible regions. Instead of pursuing this issue further, this paper focuses on some relevant computational aspects concerning the numerical maximization of the exact likelihood function of several time series models. The range of models considered here covers, among other more usual specifications, a new kind of seasonal univariate autoregressive-moving average (ARMA) models, single-and multiple-output transfer-function-noise models, vector ARM A models and, in general, time series models with parameters subject to certain constraints." @default.
- W302148889 created "2016-06-24" @default.
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- W302148889 date "1996-01-01" @default.
- W302148889 modified "2023-10-16" @default.
- W302148889 title "Some Computational Aspects of Exact Maximum Likelihood Estimation of Time Series Models" @default.
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- W302148889 doi "https://doi.org/10.1007/978-3-642-46992-3_47" @default.
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