2013/04/30 by Maximilian Ludwig, Ludwig, Maximilian
Decision Sciences · Economics, Econometrics and Finance · #Advanced Statistical Process Monitoring #FOS: Computer and information sciences #Forecasting Techniques and Applications #Methodology (stat.ME) #Monetary Policy and Economic Impact
paper · pdf · doi:10.48550/arxiv.1304.7956
openalex publication_date 2013/04/30 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
This paper provides a simple method to estimate both univariate and multivariate MA processes. Similar to Durbin's method, it rests on the recursive relation between the parameters of the MA process and those of its AR representation. This recursive relation is shown to be valid both for invertible / stable and non invertible / unstable processes under the assumption that the process has no constant and started from zero. This makes the method suitable for unit root processes, too.