Abstract:In this study we introduce a novel moving-average model for analyzing stationary time series observed irregularly in time. The process is strictly stationary and ergodic under normality and weakly stationary when normality is not assumed. Maximum likelihood estimation can be efficiently carried out through a Kalman algorithm obtained from the state-space representation of the model. The Kalman algorithm has order O(n) (where n is the number of observations in the sequence), from which it is possible to efficie… Show more
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