Accession Number:

ADA230812

Title:

Iterative Procedures for Exact Maximum Likelihood Estimation in the First-Order Gaussian Moving Average Model

Descriptive Note:

Technical rept.

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s):

Report Date:

1990-11-01

Pagination or Media Count:

61.0

Abstract:

Estimation of the parameters of a first-order Gaussian moving average model is treated in detail. Iterative methods in both the time and frequency domains are based on the maximization of the exact likelihood. Several methods for evaluating the necessary quadratic forms and traces are presented. The procedures are compared with other and with alternative procedures.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE