A note on maximum likelihood estimation in the first-order Gaussian moving average model

DOI10.1016/0167-7152(93)90144-8MaRDI QIDQ1209696zbMATH OpenOpenAlexFDO

Authors T. W. Anderson, Raúl P. 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

zbMATH Keywords

likelihood equationslikelihood functionmaximum likelihood estimatesfirst-order autocorrelationalternative parametrizationsGaussian MA(1) zero-mean modelmoving average coefficientvariance of the unobservable independent normal random variables

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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Cites work

• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*

Cited in

(12)

• The auto-regression and the moving-average
• Gaussian estimation of first order time series models with Bernoulli observations
• A note on maximum likelihood estimation for the complex-valued first- order autoregressive process
• Improved likelihood-based inference for the \(MA(1)\) model
• New exact ML estimation and inference for a Gaussian \(MA(1)\) process
• Fitting MA(\(q\)) models in the closed invertible region
• On the closed form of the likelihood function of the first order moving average model
• Comparison between the exact likelihood and Whittle likelihood for moving average processes
• Modified Maximum Likelihood Estimation in First-Order Autoregressive Moving Average Models with some Non-Normal Residuals
• Exact maximum likelihood estimation for non-Gaussian moving averages
• A new preliminary estimator for MA(1) models
• scientific article; zbMATH DE number 5657473 (Why is no real title available?)

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