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for MA process

it is better to use MLE

for how to write it, refer to the book time series analysis MLE chapter(hamilton)

you will find the details there

Durbin algorithm is an approximation to the MLE by replacing MA(q) with an approximating AR(L)
or you could use moment method ( see Kendall and Stuart)

thank you! all of you r so kind!

i had found the detail MLE code for MA process from <LECTURES IN TIME-SERIES ANALYSIS AND FORECASTING > by D.S.G. Pollock,, but the code is writed by pascal,,i can't make the programme run.... confuse me so much :(,, i can share the code ,, if someone interested

[此贴子已经被作者于2005-9-15 23:25:14编辑过]