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.
Citation
E. J. Godolphin. "An Invariance Property for the Maximum Likelihood Estimator of the Parameters of a Gaussian Moving Average Process." Ann. Statist. 8 (5) 1093 - 1099, September, 1980. https://doi.org/10.1214/aos/1176345146
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