Exact maximum likelihood estimation for extended ARIMA models [chapter]

R. Azrak, G. Mélard
1993 Developments in Time Series Analysis  
Several extensions to autoregressive integrated moving average (ARIMA) models have been considered in the recent years. Many of them are special cases of the extended ARIMA model treated in this paper. The main features are time-dependent coefficients in the autoregressive and moving average polynomials, various types of interventions (including the usual Box and Tiao form and the innovation interventions but also interventions acting on the scale), trends on the level or on the scale, built-in
more » ... the scale, built-in deterministic seasonal components and variable transformations. In the past, estimation procedures were limited to least squares although the evaluation of the likelihood function is available for special cases, including the ARMA model with time dependent coefficients. This paper deals with maximum likelihood estimation when several features of the extended ARIMA model are taken together.
doi:10.1007/978-1-4899-4515-0_9 fatcat:4ziyqq2skngtrhvir4pjqm2oz4