Note concerning the Akaike and Hannan estimation procedures for an autoregressive-moving average processA note on the estimation of the parameters of the autoregressive-moving average process

Abstract

Patterson & Thompson (1971) have described a modified maximum likelihood technique for estimating variance components in the additive mixed model. We consider the use of this method in estimating the parameters of the autoregressive-moving average model, and examine its performance relative to some established techniques for 200 simulations of a firstorder moving average process.