A method for estimating parameter in nonnegative MA(1) models

被引：2
|
作者：
Andel, J [1 ]
Zichová, J [1 ]
机构：
[1] Charles Univ, Dept Stat, Prague 18675 8, Czech Republic
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2002年 / 31卷 / 11期
关键词：
nonnegative time series; moving-average models; estimating parameters;
D O I：
10.1081/STA-120015019
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A method for estimating parameter in nonnegative MA(1) models is proposed and investigated in the paper. The method also gives nontrivial confidence sets on confidence level 1. Small sample properties of new estimator are demonstrated in a simulation study.
引用
收藏
页码：2101 / 2111
页数：11
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