A direct representation for the maximum likelihood estimator of a Gaussian moving average process
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Publication:4162346
DOI10.1093/biomet/64.2.375zbMath0381.62073OpenAlexW2116961043MaRDI QIDQ4162346
Publication date: 1977
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/64.2.375
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
Related Items (6)
ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION ⋮ On the criterion function for ARMA estimation ⋮ THE ESTIMATION OF PARAMETERS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS ⋮ A characterization of the inverse autocorrelation function ⋮ Implementation of the direct representation for the maximum likelihood estimator of a gaussian moving average process ⋮ On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models
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