Yule-Walker Estimation for the Moving-Average Model

[摘要] The standard Yule-Walker equations, as they are known for an autoregression, are generalizedto involve the moments of a moving-average process indexed on any number of dimensions. Onceobservations become available, new moments estimators are set to imitate the theoretical equations. These estimators are not only consistent but also asymptotically normal for any number of indexes. Their variance matrix resembles a standard result from maximum Gaussian likelihood estimation. A simulation study is added to conclude on their efficiency.

[学科分类] 应用数学