A note on maximum likelihood estimation in the first-order Gaussian moving average model
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Publication:1209696
DOI10.1016/0167-7152(93)90144-8zbMath0783.62067MaRDI QIDQ1209696
T. W. Anderson, Raul Pedro Mentz
Publication date: 16 May 1993
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(93)90144-8
maximum likelihood estimates; likelihood function; likelihood equations; first-order autocorrelation; alternative parametrizations; Gaussian MA(1) zero-mean model; moving average coefficient; variance of the unobservable independent normal random variables
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09: Non-Markovian processes: estimation
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