Skip Navigation

Biometrika 1983 70(1):279-284; doi:10.1093/biomet/70.1.279
© 1983 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by GODOLPHIN, E. J.
Right arrow Articles by UNWIN, J. M.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

MISCELLANEA

Evaluation of the covariance matrix for the maximum likelihood estimator of a Gaussian autoregressive-moving average process

E. J. GODOLPHIN and J. M. UNWIN

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

We present a simple procedure for deriving the covariance matrix for the maximum likelihood estimator of a Gaussian autoregressive-moving average process. An illustration of the procedure is given.

Key Words: Autoregressive-moving average process • Efficient estimation • Information matrix • Minimum variance • Stationary time series


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.