Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model Export

@article{citeulike:1074279, abstract = {Estimation of the parameters in a mixed autoregressive moving average process leads to a nonlinear optimization problem. The negative logarithm of the likelihood function, suitably normalized, converges to a deterministic function as the sample length increases. The local and global extrema of this function are investigated. Conditions for the existence of a unique global and local minimum are given.}, author = {Astrom, K. and Soderstrom, T.}, citeulike-article-id = {1074279}, citeulike-linkout-0 = {http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=1100735}, journal = {Automatic Control, IEEE Transactions on}, keywords = {diagnostics, identification, simulation}, number = {6}, pages = {769--773}, posted-at = {2007-01-29 13:20:00}, priority = {2}, title = {Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model}, url = {http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=1100735}, volume = {19}, year = {1974} }

TY - JOUR ID - citeulike:1074279 L3 - citeulike-article-id:1074279 N2 - Estimation of the parameters in a mixed autoregressive moving average process leads to a nonlinear optimization problem. The negative logarithm of the likelihood function, suitably normalized, converges to a deterministic function as the sample length increases. The local and global extrema of this function are investigated. Conditions for the existence of a unique global and local minimum are given. IS - 6 JF - Automatic Control, IEEE Transactions on EP - 773 TI - Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model VL - 19 SP - 769 KW - diagnostics KW - identification KW - simulation AU - Astrom, K AU - Soderstrom, T PY - 1974/// UR - http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=1100735 ER -