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...

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Bibliografske podrobnosti
Glavni avtor: Shephard, N
Format: Journal article
Jezik:English
Izdano: Cambridge University Press 1993
Teme: