On the maximum likelihood estimation of the parameters of a Gaussian moving average process

DOI10.1093/BIOMET/69.2.443zbMATH Open0517.62081OpenAlexW2066161604MaRDI QIDQ3666091FDOQ3666091

E. J. Godolphin, Jan G. De Gooijer

Publication date: 1982

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/69.2.443

zbMATH Keywords

iterative procedureGaussian moving average processexact likelihood estimationsolving maximum likelihood equations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)

Cited In (6)

• Predictive inference for linear and multivariate linear models with ma(1) error processes
• Estimation of a linear regression model with stationary ARMA (p,q) errors
• A characterization of the inverse autocorrelation function
• Explicit estimators under \(m\)-dependence for a multivariate normal distribution
• Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models
• Bias correction in ARMA models

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