Why do Noninvertible Estimated Moving Averages Occur?

Abstract

The positive probability that an estimated moving average process is noninvertible is studied for maximum likelihood estimation of a univariate process. Upper and lower bounds for the probability in the first-order case are obtained as well as limits when the sample size tends to infinity. Higher order moving average models and autoregressive moving average models are also treated. Keywords: Moving average models; Maximum likelihood estimation; Noninvertible moving average; and Autoregressive moving average processes.

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1984
Accession Number
ADA150388

Entities

People

  • A. Takemura
  • Theodore W. Anderson

Organizations

  • Stanford University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Mathematics
  • Maximum Likelihood Estimation
  • Probability

Fields of Study

  • Mathematics

Readers

  • Statistical inference.