An alternative derivation of the Durbin method for MA spectrum estimation

Abstract

Durbin’s method is often regarded as the method of choice when estimating the parameters of a moving average (MA) process. In Durbin’s original paper, he derived the method using a statistical approach and showed that it is approximately maximum likelihood. This statistical approach renders the method, however, inaccessible to students without a background in statistical estimation theory. In this paper, we present a non-statistical derivation of the method.