SPECTRAL MAXIMUM LIKELIHOOD ESTIMATION OF A SIGNAL-TO-NOISE RATIO LYING IN THE VICINITY OF ZERO

DOI10.1111/J.1467-9892.1996.TB00287.XzbMath0858.62083OpenAlexW2120159586MaRDI QIDQ4715809

Francisco Javier Fernández-MacHo

Publication date: 23 March 1997

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00287.x

zbMATH Keywords

unit rootsignal-to-noise ratioboundary estimatefrequency domain estimationnoninvertible moving averageunobserved components modelunobserved componentstructural time series modeldeterministic component

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

Cites Work

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• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling

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