Maximum likelihood estimation for all-pass time series models
An autoregressive-moving average model in which all roots of the autoregressive polynomial are reciprocals of roots of the moving average polynomial and vice versa is called an all-pass time series model. All-pass models generate uncorrelated (white noise) time series, but these series are not independent in the non-Gaussian case. An approximate likelihood for a causal all-pass model is given and used to establish asymptotic normality for maximum likelihood estimators under general conditions. Behavior of the estimators for finite samples is studied via simulation. A two-step procedure using all-pass models to identify and estimate noninvertible autoregressive-moving average models is developed and used in the deconvolution of a simulated water gun seismogram.
Volume (Year): 97 (2006)
Issue (Month): 7 (August)
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References listed on IDEAS
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- Lii, Keh-Shin & Rosenblatt, Murray, 1988. "Nonminimum phase non-Gaussian deconvolution," Journal of Multivariate Analysis, Elsevier, vol. 27(2), pages 359-374, November.
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