Simple consistent estimation of the coefficients of a linear filter

DOI10.1016/0304-4149(88)90063-4zbMath0637.62087OpenAlexW1965087139MaRDI QIDQ1098530

Peter J. Brockwell, Richard A. Davis

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(88)90063-4

zbMATH Keywords

identificationinnovationslinear processARMA processeslinear filterbest mean square predictorpreliminary estimation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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Cites Work

• Time series: theory and methods
• Consistent autoregressive spectral estimates
• Linear prediction by autoregressive model fitting in the time domain
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
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