Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function

DOI10.1080/03610928708829357zbMath0607.62105OpenAlexW2136387168MaRDI QIDQ3746731

Junji Nakano, Shigemi Tagami

Publication date: 1987

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928708829357

zbMATH Keywords

asymptotic efficiencysimulationssmoothed periodogrammultivariate moving average modelinverse autocovariance estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

An efficient method for the estimation of multivariate moving averge models ⋮ Estimating multivariate autoregressive moving average models by fitting long autoregressions

Cites Work

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• Estimation for autoregressive moving average models in the time and frequency domains
• The information matrices of the parameters of multiple mixed time series
• Computation of the exact likelihood function of multivariate moving average models
• Efficient estimation of multivariate moving average autocovariances
• Autoregressive and window estimates of the inverse correlation function
• Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)

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