An algorithm for the exact likelihood of periodic autoregressive moving average models |
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| Authors: | W.K. Li Y.V. Hui |
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| Affiliation: | 1. Department of Statistics , University of Hong Kong , Hong kong;2. Department of Statistics , Chinese University of Hong Kong , Hong kong |
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| Abstract: | An algorithm to compute the autocovariance functions of periodic autoregressive moving average models is proposed. As a result, an easily implemented algorithm for the exact likelihood of these models is rendered possible. |
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| Keywords: | Autocovariance function Exact likelihood Periodic autoregressive moving average models |
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