On the estimation of variance for autoregressive and moving average processes (Corresp.)

DOI10.1109/TIT.1986.1057128zbMath0586.62147MaRDI QIDQ3711571

Boaz Porat, Benjamin Friedlander

Publication date: 1986

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

zbMATH Keywords

time seriesvariance estimationCramér-Rao boundasymptotically efficientsecond-order statisticsmoving-averageClosed-form expressionsautoregressive (AR) processsample-variance estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Residual variance estimation in moving average models

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