Summary
In a recent paper the author has given a Fortran program for the computation of the likelihood function of an ARMA process. The algorithm is extended here to handle exactly and efficiently four related problems :
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(a)
the computation of forecasts
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(b)
the generation of artificial time series according to a given ARMA model
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(c)
the computation of the likelihood function of a transfer function model or a regression model with ARMA disturbances
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(d)
the computation of the first-order derivatives of the log-likelihood of an ARMA(p,q) process with respect to the coefficients.
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References
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© 1984 Springer-Verlag Berlin Heidelberg
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Mélard, G. (1984). On Fast Algorithms for Several Problems in Time Series Models. In: Havránek, T., Šidák, Z., Novák, M. (eds) Compstat 1984. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-51883-6_4
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DOI: https://doi.org/10.1007/978-3-642-51883-6_4
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7051-0007-7
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