MAXIMUM LIKELIHOOD ESTIMATION OF AUTOCOVARIANCE MATRICES FROM REPLICATED SHORT TIME SERIES

Serge Degerine

Journal of Time Series Analysis, 1987, vol. 8, issue 2, 135-146

Abstract: Abstract. The maximum likelihood estimation of an autocovariance matrix based on replicated observations of stationary times series is considered. A sufficient condition for the existence of the estimate, when the sample covariance matrix is singular, is given. An iterative method for its computation is proposed: it is based on some spectral decompositions of Toeplitz matrices. Simulation results show the superiority of the estimate over the usual empirical sample autocovariance matrix.

Date: 1987
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