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Biometrika 1977 64(2):375-384; doi:10.1093/biomet/64.2.375
© 1977 by Biometrika Trust
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A direct representation for the maximum likelihood estimator of a Gaussian moving average process

E. J. GODOLPHIN

Department of Statistics and Computer Science, Royal Holloway College Egham, Surrey

It has been known for several years that the maTin-mm likelihood estimator of the parameters of a discrete Gaussian moving average process is efficient and asymptotically normally distributed. A procedure is described in this paper which gives an expression for the maximum likelihood estimator of each parameter as a linear combination of a suitable large set of sample serial correlations. An illustration of this procedure is given.

Key Words: Autocorrelation function • Maximum likelihood estimation • Stationary time series


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