On the maximum likelihood estimation of the parameters of a Gaussian moving average process

DOI10.1093/biomet/69.2.443zbMath0517.62081OpenAlexW2066161604MaRDI QIDQ3666091

E. J. Godolphin, Jan G. De Gooijer

Publication date: 1982

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/69.2.443

zbMATH Keywords

iterative procedureGaussian moving average processexact likelihood estimationsolving maximum likelihood equations

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

Related Items (6)

Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models ⋮ Explicit estimators under \(m\)-dependence for a multivariate normal distribution ⋮ Predictive inference for linear and multivariate linear models with ma(1) error processes ⋮ A characterization of the inverse autocorrelation function ⋮ Estimation of a linear regression model with stationary ARMA (p,q) errors ⋮ Bias correction in ARMA models

This page was built for publication: On the maximum likelihood estimation of the parameters of a Gaussian moving average process