Maximum likelihood estimation for noncausal autoregressive processes

DOI10.1016/0047-259X(91)90056-8zbMath0711.62072OpenAlexW2090702019MaRDI QIDQ923568

F. Jay Breidt, Keh-Shin Lii, Richard A. Davis, Murray Rosenblatt

Publication date: 1991

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(91)90056-8

zbMATH Keywords

asymptotic normalitysimulation studynonminimum phasemaximum likelihood procedureAR(2) processesi.i.d. non-Gaussian noisenoncausal autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

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Uses Software

• UNCMND
• pchip

Cites Work

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• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• Time series: theory and methods
• Adaptive estimates for autoregressive processes
• On adaptive estimation in stationary ARMA processes
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES

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