scholarly journals Pile-up probabilities for the Laplace likelihood estimator of a non-invertible first order moving average

2006 ◽  
pp. 1-19 ◽  
Author(s):  
F. Jay Breidt ◽  
Richard A. Davis ◽  
Nan-Jung Hsu ◽  
Murray Rosenblatt
Keyword(s):  
Moving Average ◽  
Likelihood Estimator ◽  
First Order ◽  
Pile Up

An Exact Discrete Analog to a Closed Linear First-Order Continuous-Time System with Mixed Sample

1987 ◽  
Vol 3 (1) ◽  
pp. 143-149 ◽  
Author(s):  
Terence D. Agbeyegbe
Keyword(s):  
Continuous Time ◽  
Discrete Model ◽  
Moving Average ◽  
Discrete Analog ◽  
Time System ◽  
First Order ◽  
Exact Discrete Model ◽  
Asymptotically Efficient ◽  
Order Continuous ◽  
Continuous Time System

This article deals with the derivation of the exact discrete model that corresponds to a closed linear first-order continuous-time system with mixed stock and flow data. This exact discrete model is (under appropriate additional conditions) a stationary autoregressive moving average time series model and may allow one to obtain asymptotically efficient estimators of the parameters describing the continuous-time system.

On the inverses of some patterned matrices arising in the theory of stationary time series

1974 ◽  
Vol 11 (01) ◽  
pp. 63-71 ◽  
Author(s):  
R. F. Galbraith ◽  
J. I. Galbraith
Keyword(s):  
Moving Average ◽  
Autoregressive Process ◽  
Stationary Time Series ◽  
Autoregressive Moving Average ◽  
Average Process ◽  
Moving Average Process ◽  
First Order ◽  
Explicit Formulae ◽  
Patterned Matrices ◽  
Autoregressive Moving Average Process

Expressions are obtained for the determinant and inverse of the covariance matrix of a set of n consecutive observations on a mixed autoregressive moving average process. Explicit formulae for the inverse of this matrix are given for the general autoregressive process of order p (n ≧ p), and for the first order mixed autoregressive moving average process.

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