An invariance property for the maximum likelihood estimator of the parameters of a Gaussian moving average process

DOI10.1214/aos/1176345146zbMath0465.62082OpenAlexW2094693833MaRDI QIDQ1154766

E. J. Godolphin

Publication date: 1980

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345146

zbMATH Keywords

maximum likelihood estimatorautocorrelation functionstationary time seriesinvariance propertyGaussian moving average processWalker procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09)

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