The estimation of a nonlinear moving average model

Citations of this article
Mendeley users who have this article in their library.


We consider discrete-parameter stochastic processes that are the output of a nonlinear filter driven by white noise. For a simple model, we derive estimates of the unknown coefficients in the transfer function and the noise variance, and investigate their asymptotic properties. We prove some lemmas that can also be used to obtain rates of convergence in the weak and strong laws of large numbers, and central limit theorems, for estimates of more general nonlinear models. © 1977.




Robinson, P. M. (1977). The estimation of a nonlinear moving average model. Stochastic Processes and Their Applications, 5(1), 81–90.

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free