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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Bologna
2022-07-01
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| Series: | Statistica |
| Subjects: | |
| Online Access: | https://rivista-statistica.unibo.it/article/view/13609 |