It is shown that the estimation procedure of Walker leads to estimates of the parameters of a Gaussian moving average process which are asymptotically equivalent to the maximum likelihood estimates proposed by Whittle and represented by Godolphin.
Publié le : 1980-09-14
Classification:
Autocorrelation function,
invariance,
maximum likelihood estimation,
moving average process,
stationary time series,
62M10,
62M99
@article{1176345146,
author = {Godolphin, E. J.},
title = {An Invariance Property for the Maximum Likelihood Estimator of the Parameters of a Gaussian Moving Average Process},
journal = {Ann. Statist.},
volume = {8},
number = {1},
year = {1980},
pages = { 1093-1099},
language = {en},
url = {http://dml.mathdoc.fr/item/1176345146}
}
Godolphin, E. J. An Invariance Property for the Maximum Likelihood Estimator of the Parameters of a Gaussian Moving Average Process. Ann. Statist., Tome 8 (1980) no. 1, pp. 1093-1099. http://gdmltest.u-ga.fr/item/1176345146/