On a Parameter Estimation Algorithm for MA Time Series.

Petre Stoica and Girish Ganesan

June 2000

Abstract:

We take a close look at an algorithm for MA(1) parameter estimation. We provide a thorough convergence analysis of that algorithm in the scalar case, discuss its main advantages and disadvantages, present a possible extension of it to the MA(n) case, and compare it with a recent alternative algorithm that appears to be one of the best available choices for MA parameter estimation.

Available as compressed Postscript (84 kB, no cover)

Download BibTeX entry.