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Journal of the American Statistical Association Volume 79, 1984 - Issue 387
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Theory and Method

The G-Spectral Estimator

M. J. Morton Bell Laboratories, Holmdel, NJ, 07733, USA
&
H. L. Gray Southern Methodist University, Dallas, TX, 75275, USA
Pages 692-701 | Received 01 Nov 1982, Published online: 12 Mar 2012
 
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Abstract

In this article a modified definition of the G-spectral estimator is given. It is shown that the resulting estimator is a method of moments autoregressive moving average (ARMA) spectral estimator that does not require an estimate of the moving average parameters. As a result, a new formula for the power spectrum of an ARMA process is given that does not explicitly involve the moving average (MA) parameters. This formula then leads to a closed-form expression for the MA parameters and their corresponding moment estimators.

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