SPECTRAL MAXIMUM LIKELIHOOD ESTIMATION OF A SIGNAL-TO-NOISE RATIO LYING IN THE VICINITY OF ZERO

DOI10.1111/J.1467-9892.1996.TB00287.XMaRDI QIDQ4715809zbMATH OpenOpenAlexFDO

Authors Francisco Javier Fernández-MacHo

Publication date 23 March 1997

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1996.tb00287.x

zbMATH Keywords

signal-to-noise ratiounit rootboundary estimatefrequency domain estimationnoninvertible moving averageunobserved components modelunobserved componentstructural time series modeldeterministic component

Mathematics Subject Classification ID

Economic time series analysis (91B84) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3742449 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling

Cited in

(7)

• ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
• Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors
• A geometric approach to the maximum likelihood spectral estimator for sinusoids in noise
• The largest SNR distribution
• Maximum likelihood estimation of the spectral density parameter
• Estimation of matrix valued realized signal to noise ratio
• Unconditional Maximum Likelihood Performance at Finite Number of Samples and High Signal-to-Noise Ratio

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