Yule-Walker estimation for the moving-average model

DOI10.1155/2011/151823MaRDI QIDQ638025zbMATH OpenOpenAlexWikidataFDO

Authors Chrysoula Dimitriou-Fakalou

Publication date 8 September 2011

Published in International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2011/151823

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Summary: The standard Yule-Walker equations, as they are known for an autoregression, are generalized to involve the moments of a moving-average process indexed on any number of dimensions. Once observations become available, new moment estimators are set to imitate the theoretical equations. These estimators are not only consistent but also asymptotically normal for any number of indexes. Their variance matrix resembles a standard result from maximum Gaussian likelihood estimation. A simulation study is added to conclude on their efficiency.

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Cited in

(4)

• Zur Lösung der Yule-Walker-Gleichungen. (On the solution of the Yule- Walker equations)
• Bilinear representation of non-stationary autoregressive time series
• An efficient method for the estimation of multivariate moving averge models
• scientific article; zbMATH DE number 4001262 (Why is no real title available?)

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