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Biometrika 1969 56(3):579-593; doi:10.1093/biomet/56.3.579
© 1969 by Biometrika Trust
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The estimation of mixed moving average autoregressive systems

E. J. HANNAN

Australian National University

Estimates are constructed of the parameters in mixed moving average autoregressive models based upon Fourier transformation of the data. These are shown to be asymptotically normal with the same distribution as the maximum likelihood estimators for the Gaussian case. The method extends to the vector case but the procedure is discussed in detail only for vector moving averages.


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