A Proposal for Estimation of the Parameters of Multivariate Moving‐average Models
Anna Clara Monti · Journal of Time Series Analysis · 1998
A method is proposed for the preliminary estimation of the parameters of multivariate moving‐average processes. Initially,m independent white‐noise series are generated. Then the parameters are estimated through an iterative procedure. The algorithm is fast and simple since it does not require specialized software for time series but a least squares routine. The estimators are consistent and a simulation experiment shows good performance in finite samples. An applicati on to real data is also illustrated