Residual variance estimation in moving average models

DOI10.1080/03610929708832021zbMath0955.62624MaRDI QIDQ4269936

Clélia M. C. Toloi, Raul Pedro Mentz, Pedro Alberto Morettin

Publication date: 10 November 1999

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929708832021

zbMATH Keywords

time series; maximum likelihood; bias; method of moments

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

Related Items

On least-squares estimation of the residual variance in the first-order moving average model.

Uses Software

• ITSM

Cites Work

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• On the Inverse of Some Covariance Matrices of Toeplitz Type
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