On the estimation of variance for autoregressive and moving average processes (Corresp.)

DOI10.1109/TIT.1986.1057128zbMATH Open0586.62147MaRDI QIDQ3711571FDOQ3711571

Authors: Boaz Porat, Benjamin Friedlander 

Publication date: 1986

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

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zbMATH Keywords

time seriesvariance estimationasymptotically efficientsecond-order statisticsmoving-averageClosed-form expressionsautoregressive (AR) processCramér-Rao boundsample-variance estimator

Mathematics Subject Classification ID

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

Cited In (13)

• Title not available (Why is that?)
• Variance expressions for spectra estimated using auto-regressions.
• The Durbin-Watson statistic to estimate the instantaneous variance of non-stationary stochastic processes with ARMA structure for noise process
• On the exponentially weighted moving variance
• Variance and covariance computations for 2-D ARMA processes
• Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes
• Title not available (Why is that?)
• Asymptotically minimum variance second-order estimation for complex circular processes
• Discussion on: ``Variance properties of a two-step ARX estimation procedure
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• The effects of model parameter deviations on the variance of a linearly filtered time series
• Linear time series variance
• Residual variance estimation in moving average models

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