EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS

By J. Durbin. 1959

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Citations in the corpus

Maximum Likelihood Estimation of VARMA Models Using a State‐Space EM Algorithm (2007, methodology): “In the E step, we apply the univariate filtering and smoothing algorithm of Koopman and Durbin (2000). In the smoother pass, we use the iterations summarized in Durbin and Koopman (2001, Sect.”
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005, background): “… 1 + η2 η 0 · · · 0 η 1 + η2 η . . . ... 0 η 1 + η2 . . . 0 ... . . . . . . . . . η 0 · · · 0 η 1 + η2 (4.2) Further, det(V ) = 1− η2N+2 1− η2 (4.3) and, neglecting the end effects, an approximate inverse of V is the matrix Ω = [ωij]i,j=1,...,N where ωij = ¡ 1− η2¢−1 (−η)|i−j| (see Durbin (1959)).”
How to handle colored observation noise in large least-squares problems (2003, methodology): “Equation (23) is used to find the MA parameters B̂q̂ using the MA method of Durbin (1959). Thereafter, the final AR parameters Âp̂ðzÞ are obtained with Eq.”
The Long-Run Effects of Monetary Policy (2020, methodology): “In particular, following Durbin (1959), we know that Bh = A1Bh−1 +A2Bh−2 + · · ·+Ah−1B1 +Ah .”
Integer-valued moving average modelling of the number of transactions in stocks (2010, methodology): “Obviously, there are alternative estimators, such as Durbin's ( 1959 ) estimator extended to handle λ, for the estimation of ψ.”
Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series (2006, methodology): “Time-domain derivations were also (at least partially) used for other estimators by, among others, Mann and Wald (1943), Wold (1949), Whittle (1953), Durbin (1959), and Walker (1961, 1962).”
Spectral Analysis of Signals (2009, methodology): “The so–obtained method was for the first time suggested in [Durbin 1959], and is often called Durbin’s Method.”