Title :
Fitting a smooth moving average to noisy data (Corresp.)
fDate :
7/1/1976 12:00:00 AM
Abstract :
Recently, Tong has studied the problem of fitting an autoregressive (AR) model to a stochastic signal with noisy data. In this correspondence, we study the associated problem of fitting a smooth moving average to noisy data. The approach is again based on an information criterion due to Akaike.
Keywords :
Moving-average processes; Parameter estimation; Time series; Data analysis; Gaussian processes; Mathematics; Maximum likelihood estimation; Predictive models; Shape; Statistics; Stochastic processes; Testing; Time series analysis;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.1976.1055572
