ON THE MAXIMUM-LIKELIHOOD ESTIMATION OF THE PARAMETERS OF A GAUSSIAN MOVING AVERAGE PROCESS

被引：7

作者：

GODOLPHIN, EJ ^{[1
]}

DEGOOIJER, JG ^{[1
]}

机构：

[1] UNIV AMSTERDAM, DEPT ECON STAT, AMSTERDAM, NETHERLANDS

来源：

BIOMETRIKA | 1982年 / 69卷 / 02期

关键词：

D O I：

10.2307/2335420

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

引用

页码：443 / 451

页数：9

共 25 条

[1] ANALYSIS OF AUTOREGRESSIVE-MOVING AVERAGE MODELS - ESTIMATION AND PREDICTION [J].

ALI, MM .

BIOMETRIKA, 1977, 64 (03) :535-545

[2]

Angell I. O., 1978, Journal of Statistical Computation and Simulation, V8, P145, DOI 10.1080/00949657808810259

[3] FINITE-SAMPLE PROPERTIES OF ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS [J].

ANSLEY, CF ;

NEWBOLD, P .

JOURNAL OF ECONOMETRICS, 1980, 13 (02) :159-183

[4] ALGORITHM FOR THE EXACT LIKELIHOOD OF A MIXED AUTOREGRESSIVE-MOVING AVERAGE PROCESS [J].

ANSLEY, CF .

BIOMETRIKA, 1979, 66 (01) :59-65

[5]

Box GE., 1970, SAN FRANCISCO HOLDAN

[6] EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS [J].

DURBIN, J .

BIOMETRIKA, 1959, 46 (3-4) :306-316

[7] INVERSES OF SOME PATTERNED MATRICES ARISING IN THEORY OF STATIONARY TIME SERIES [J].

GALBRAITH, RF ;

GALBRAITH, JI .

JOURNAL OF APPLIED PROBABILITY, 1974, 11 (01) :63-71

[8]

Gill P. E., 1972, Journal of the Institute of Mathematics and Its Applications, V9, P91

[9] AN INVARIANCE PROPERTY FOR THE MAXIMUM-LIKELIHOOD ESTIMATOR OF THE PARAMETERS OF A GAUSSIAN MOVING AVERAGE PROCESS [J].

GODOLPHIN, EJ .

ANNALS OF STATISTICS, 1980, 8 (05) :1093-1099

[10] MODIFIED MAXIMUM LIKELIHOOD ESTIMATION OF GAUSSIAN MOVING AVERAGES USING A PSEUDO-QUADRATIC CONVERGENCE CRITERION [J].

GODOLPHIN, EJ .

BIOMETRIKA, 1978, 65 (01) :203-206

← 1 2 3 →