A note on maximum likelihood estimation in the first-order Gaussian moving average model

DOI10.1016/0167-7152(93)90144-8zbMath0783.62067OpenAlexW2091456116MaRDI QIDQ1209696

T. W. Anderson, Raul Pedro Mentz

Publication date: 16 May 1993

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(93)90144-8

zbMATH Keywords

maximum likelihood estimateslikelihood functionlikelihood equationsfirst-order autocorrelationalternative parametrizationsGaussian MA(1) zero-mean modelmoving average coefficientvariance of the unobservable independent normal random variables

Mathematics Subject Classification ID

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

Related Items

A new preliminary estimator for MA(1) models

Cites Work

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• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
• ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS