Journal article
Small-sample properties of the maximum likelihood estimator in the first-order moving average model
Biometrika, Vol.68(3), pp.691-694
12/1981
DOI: 10.1093/biomet/68.3.691
Abstract
In this paper we discuss finite sample properties of the maximum likelihood estimator θ^ in the first-order moving average model. We give a theoretical explanation for the concentration of θ^ values at the invertibility boundary. We derive the exact distribution of θ^ for sample size n=2 which is found to be of mixed type. For general n we give approximations for pr (θ^=1).
Details
- Title: Subtitle
- Small-sample properties of the maximum likelihood estimator in the first-order moving average model
- Creators
- JONATHAN D. Cryer - University of IowaJOHANNES Ledolter - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Biometrika, Vol.68(3), pp.691-694
- Publisher
- Oxford University Press
- DOI
- 10.1093/biomet/68.3.691
- ISSN
- 0006-3444
- eISSN
- 1464-3510
- Language
- English
- Date published
- 12/1981
- Academic Unit
- Statistics and Actuarial Science; Business Analytics
- Record Identifier
- 9984380559802771
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