Abstract
We shall in this section consider the asymptotic behavior of parameter estimates in the case of one-dimensional minimum phase ARMA schemes that are equivalent asymptotically in the Gaussian case to maximum likelihood estimates. Consider the stationary ARMA (p, q) minimum phase sequence {xt}
with the ξ t ’s independent, identically distributed with mean zero and variance σ2.
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© 2000 Springer Science+Business Media New York
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Rosenblatt, M. (2000). Minimum Phase Estimation. In: Gaussian and Non-Gaussian Linear Time Series and Random Fields. Springer Series in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-1262-1_2
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DOI: https://doi.org/10.1007/978-1-4612-1262-1_2
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4612-7067-6
Online ISBN: 978-1-4612-1262-1
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