A note on the estimation of parameters of a stationary ARMA model using a quasi-Newton method

by Ibrahim Amrani & Abdelhalim Skalli .

Abstract: This article proposes the use of a quasi-Newton method to maximize the likelihood of a stationary ARMA(p,q) model. The latter will be written in the form of a state space model to determine the expression of the likelihood function.

Key Words: ARMA(p,q), quasi-Newton method, State space model

Ibrahim Amrani, ibrahim, amrani@yahoo.fr
Abedelhalim Skalli, skalli@emi.ac.ma

Editor: Peiris Shelton, shelton@maths.usyd.edu.au

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