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