Maximum likelihood estimation for noncausal autoregressive processes

F. Jay Breid, Richard A. Davis, Keh-Shin Lh and Murray Rosenblatt

Journal of Multivariate Analysis, 1991, vol. 36, issue 2, 175-198

Abstract: We discuss a maximum likelihood procedure for estimating parameters in possibly noncausal autoregressive processes driven by i.i.d. non-Gaussian noise. Under appropriate conditions, estimates of the parameters that are solutions to the likelihood equations exist and are asymptotically normal. The estimation procedure is illustrated with a simulation study for AR(2) processes.

Keywords: maximum; likelihood; estimates; asymptotic; normality; autoregressive; process; nonminimum; phase; noncausal (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (78)

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