An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes

DOI10.1016/0047-259X(92)90037-GzbMath0765.62082OpenAlexW2062374931MaRDI QIDQ1206453

Keh-Shin Lii, Murray Rosenblatt

Publication date: 1 April 1993

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

Full work available at URL: https://doi.org/10.1016/0047-259x(92)90037-g

zbMATH Keywords

consistencyasymptotic normalitysimulation studyspectral densitynonminimum phasemoving average processesapproximate maximum likelihood procedureindependent and identically distributed non-Gaussian noiseMA(2) processesnoninvertiblesolutions of likelihood-like equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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Cites Work

• Maximum likelihood estimation for noncausal autoregressive processes
• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• On adaptive estimation in stationary ARMA processes
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