Modified maximum likelihood estimation of Gaussian moving averages using a pseudoquadratic convergence criterion

DOI10.1093/BIOMET/65.1.203MaRDI QIDQ4147514zbMATH OpenOpenAlexFDO

Authors E. J. Godolphin

Publication date 1978

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/65.1.203

Mathematics Subject Classification ID

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

Cited in

(4)

• THE ESTIMATION OF PARAMETERS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS
• Implementation of the direct representation for the maximum likelihood estimator of a gaussian moving average process
• A characterization of the inverse autocorrelation function
• Estimation of a linear regression model with stationary ARMA (p,q) errors

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