ESTIMATION OF PARAMETERS OF A MULTIVARIATE MOVING AVERAGE MODEL FROM ESTIMATES OF THE INVERSE AUTOCOVARIANCE FUNCTION

被引：2

|

作者：

NAKANO, J

TAGAMI, S

机构：

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1987年 / 16卷 / 01期

关键词：

D O I：

10.1080/03610928708829357

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

引用

收藏

页码：181 / 192

页数：12

相关论文

共 50 条

[1] INVERSE OF AUTOCOVARIANCE MATRIX FOR A GENERAL MOVING AVERAGE PROCESS
ANDERSON, OD
BIOMETRIKA, 1976, 63 (02) : 391 - 394
[2] A simple algorithm to factorize the autocovariance function of a moving average process
Jürgen Ehlgen
Computational Statistics, 1999, 14 : 189 - 195
[3] A simple algorithm to factorize the autocovariance function of a moving average process
Ehlgen, J
COMPUTATIONAL STATISTICS, 1999, 14 (02) : 189 - 195
[4] On the exact likelihood function of a multivariate autoregressive moving average model
Ma, CS
BIOMETRIKA, 1997, 84 (04) : 957 - 964
[5] COMPUTATION OF THEORETICAL AUTOCOVARIANCE MATRICES OF MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE TIME-SERIES
MITTNIK, S
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-METHODOLOGICAL, 1990, 52 (01): : 151 - 155
[6] EFFICIENT ESTIMATION OF MULTIVARIATE MOVING AVERAGE AUTOCOVARIANCES
NEWTON, HJ
BIOMETRIKA, 1980, 67 (01) : 227 - 231
[7] ESTIMATION OF PARAMETERS OF MOVING AVERAGE PROCESSES
ZHILYAKOV, EG
AUTOMATION AND REMOTE CONTROL, 1991, 52 (02) : 212 - 219
[8] ESTIMATION OF MOVING-AVERAGE PARAMETERS
CHOW, JC
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1972, AC17 (02) : 268 - &
[9] On the estimation of the moving- average parameters
CHOW JC
IEEE Transactions on Automatic Control, 1972, AC-17 (02) : 268 - 269
[10] ASYMPTOTIC-BEHAVIOR OF SAMPLE AUTOCOVARIANCE FUNCTION FOR AN INTEGRATED MOVING AVERAGE PROCESS
ROY, R
BIOMETRIKA, 1977, 64 (02) : 419 - 421

← 1 2 3 4 5 →