Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models

DOI10.1080/03610928308831067zbMath0784.62079OpenAlexW2128141353MaRDI QIDQ4275772

T. W. Anderson, Raul Pedro Mentz

Publication date: 20 January 1994

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

Full work available at URL: https://doi.org/10.1080/03610928308831067

zbMATH Keywords

normalitymaximum likelihood estimationquadratic formsFourier coefficientstracescorrelation matrixCholesky decompositionfrequency domainssuccessive eliminationrational expressionsseries expressionsfirst-order moving average modeltime domains

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Robust estimation in time series, LIKELIHOOD RATIO TEST OF EQUALITY OF SEVERAL VARIANCES IN THE INTRACLASS CORRELATION MODEL, Estimation in the first-order moving average model through the finite autoregressive approximation: Some asymptotic results, On least-squares estimation of the residual variance in the first-order moving average model.

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