Comparison Between the Exact Likelihood and Whittle Likelihood for Moving Average Processes

For Gaussian stationary processes, the likelihood functions include the inverse and determinant of the covariance matrices, and Whittle likelihood is considered as a standard technique to avoid expensive matrix determinant and inversions under large sample size. In this paper, we investigate the dif...

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Detalhes bibliográficos

Principais autores:	Xiaofei Xu, Zhengze Li, Masanobu Taniguchi
Formato:	Artigo
Idioma:	Inglês
Publicado em:	University of Bologna 2022-07-01
Colecção:	Statistica
Assuntos:	gaussian stationary process spectral density likelihood function whittle likelihood moving average process
Acesso em linha:	https://rivista-statistica.unibo.it/article/view/13609
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