Implementation of the direct representation for the maximum likelihood estimator of a gaussian moving average process

DOI10.1080/00949657808810259zbMath0391.62067OpenAlexW2042075531MaRDI QIDQ4172826

I. O. Angell, E. J. Godolphin

Publication date: 1978

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949657808810259

zbMATH Keywords

ImplementationMaximum Likelihood EstimatorDirect RepresentationGaussian Moving Average Process

Mathematics Subject Classification ID

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

Related Items (1)

ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION

Cites Work

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