An Invariance Property for the Maximum Likelihood Estimator of the Parameters of a Gaussian Moving Average Process
E. J. Godolphin
Source: Ann. Statist. Volume 8, Number 5
(1980), 1093-1099.
Abstract
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.
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Keywords: Autocorrelation function; invariance; maximum likelihood estimation; moving average process; stationary time series
Full-text: Open access
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aos/1176345146
JSTOR: links.jstor.org
Digital Object Identifier: doi:10.1214/aos/1176345146
Mathematical Reviews number (MathSciNet): MR585707
Zentralblatt MATH identifier: 0465.62082
