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An algorithm for exact maximum likelihood estimation of autoregressive- moving average models by means of Kalman filtering. (English) Zbl 0471.62098

MSC:
62M20 Inference from stochastic processes and prediction
62-04 Software, source code, etc. for problems pertaining to statistics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
Software:
AS 154
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