Efficient estimation of multivariate moving average autocovariances

DOI10.1093/BIOMET/67.1.227MaRDI QIDQ3860700zbMATH OpenOpenAlexFDO

Authors H. Joseph Newton

Publication date 1980

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/67.1.227

zbMATH Keywords

autocovarianceefficient estimationgeneralized least squaresmoving average modelmultiple time seriesperiodogramspectral density

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Cited in

(3)

• Basis property of eigenfunctions of nonselfadjoint operator pencils generated by the equation of nonhomogeneous damped string
• Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function
• CHECKING STATIONARITY AND INVERTIBILITY IN TIME SERIES MODELS—FINDING THE INVERTIBLE FORM IN THE VECTOR CASE

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