Statement of a problem № m41152


Consider again the situation described in Exercise 24. This time, suppose that, for reasons unrelated to the values of the parameters, we cannot observe the values of Yn−k+1, . . . , Yn. That is, we will be able to observe all of X1, . . . , Xn and Y1, . . . , Yn−k, but not the last k Y values. Using the hint given in Exercise 24, find the M.L.E.’s of μ1, μ2, σ21, σ22 , and ρ.

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