The behaviour of the likelihood function for ARMA models

Deistler, Manfred and Pötscher, B. M. (1984) The behaviour of the likelihood function for ARMA models. Advances in Applied Probability, 16 (4), pp. 843-866. DOI: 10.2307/1427343

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The paper deals with some properties of the (Gaussian) likelihood function for multivariable ARMA models. Its behaviour at the boundary of the parameter space is described; its continuity properties as well as the question of the existence of a maximum are discussed. We have not been able to show in general the existence of the maximum over the usual parameter spaces. However, the maximum always exists over a suitably enlarged parameter space (given that the data are non-degenerate), which includes parameters corresponding to processes with discrete spectral components.

Item Type: Article in Academic Journal
Date Deposited: 05 Jun 2020 06:50
Last Modified: 13 Dec 2022 10:58
DOI: 10.2307/1427343
ISSN: 0001-8678

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