Estimation of the Parameters of the Markovian Representation of the Autoregressive-Moving Average Model
本文描述了自回归移动平均模型马尔可夫表示中参数和过程初始状态的精确联合最大似然估计方法，适用于时间序列分析研究者。
Tuan (1978) discussed the approximate maximum likelihood estimation of the parameters of the Markovian representation of the autoregressive-moving average model. He considered an indirect method, using the equivalent quasiautoregressive moving average form, the parameters of which are in one to one correspondence with those of the Markovian representation. A method of finding exact joint maximum likelihood estimates of the parameters and the initial state of the process is described here.