Distribution of the ML estimator of a MA (1) and a local level model
Although considerable attention has recently been paid to the behavior of the maximum likelihood estimator of simple moving average models, little progress has been made in finding a good approximation to its distribution in cases where the process is close to being noninvertible. In this paper a me...
| Huvudupphovsman: | |
|---|---|
| Materialtyp: | Journal article |
| Språk: | English |
| Publicerad: |
Cambridge University Press
1993
|