An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes

DOI10.1016/0047-259X(92)90037-GzbMath0765.62082MaRDI QIDQ1206453

Keh-Shin Lii, Murray Rosenblatt

Publication date: 1 April 1993

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

consistency; asymptotic normality; simulation study; spectral density; nonminimum phase; moving average processes; approximate maximum likelihood procedure; independent and identically distributed non-Gaussian noise; MA(2) processes; noninvertible; solutions of likelihood-like equations

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62M09: Non-Markovian processes: estimation

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Cites Work

• Maximum likelihood estimation for noncausal autoregressive processes
• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• On adaptive estimation in stationary ARMA processes
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