Simple consistent estimation of the coefficients of a linear filter

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.

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Year of publication:	1988
Authors:	Brockwell, P. J. ; Davis, R. A.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 28.1988, 1, p. 47-59
Publisher:	Elsevier
Keywords:	linear process ARMA process linear filter innovations preliminary estimation identification asymptotic distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875011