Efficient Estimation of Multivariate Moving Average Autocovariances.

Abstract

This paper proposes a method for estimating the autocovariances of a d-dimensional moving average process of order q. The estimators have the same asymptotic covariance matrix as those obtained by maximizing a Gaussian likelihood, and are obtained by performing a generalized least squares regression of the periodogram on the autocovariance, thus extending Parzen's (1971) estimators for d = 1. (Author)

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1979
Accession Number
ADA081173

Entities

People

  • H. Joseph Newton

Organizations

  • Texas A&M University

Tags

DTIC Thesaurus Topics

  • Computing-Related Activities
  • Covariance
  • Data Science
  • Estimators
  • Information Science
  • Interdisciplinary Science
  • Mathematics
  • Statistical Analysis
  • Statistics

Fields of Study

  • Mathematics

Readers

  • Statistical inference.