Likelihood as approximate pivotal distribution
نویسندگان
چکیده
منابع مشابه
A new approximate likelihood
Hidden Markov models (HMM) are successfully applied in various elds of time series analysis. Colored noise, e.g. due to ltering, violates basic assumptions of the model. While it is well-known how to consider auto-regressive (AR) ltering, there is no algorithm to take into account moving-average (MA) ltering in parameter estimation exactly. We present an approximate likelihood estimator for MA-...
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ژورنال
عنوان ژورنال: Biometrika
سال: 1980
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/67.2.287