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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| Формат: | Journal article |
| Язык: | English |
| Опубликовано: |
Cambridge University Press
1993
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