An Invariance Property for the Maximum Likelihood Estimator of the Parameters of a Gaussian Moving Average ProcessOther literature type English OPEN
- Publisher: The Institute of Mathematical Statistics
- Journal: issn: 0090-5364
- Related identifiers:
Subject: 62M99 | 62M10 | Autocorrelation function | moving average process | invariance | maximum likelihood estimation | stationary time series
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.