Simple consistent estimation of the coefficients of a linear filter

P. J. Brockwell and R. A. Davis

Stochastic Processes and their Applications, 1988, vol. 28, issue 1, 47-59

Abstract: A simple procedure is proposed for estimating the coefficients {[psi]} from observations of the linear process X1=[summation operator]xJ=0[psi]JZ1-j, 1=1,2... The method is based on the representation of X1 in terms of the innovations, Xn-Xn, N=1,..., 1, where Xn is the best mean square predictor of Xn is span {X1,...X0-1}. The asymptotic distribution of the sequence of estimators is derived and its applications to inference for ARMA processes are discussed.

Keywords: linear; process; ARMA; process; linear; filter; innovations; preliminary; estimation; identification; asymptotic; distribution (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (6)

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