Estimation in the First Order Moving Average Model Based on Sample Autocorrelations
Mentz, Raul Pedro
Ann. Statist., Tome 5 (1977) no. 1, p. 1250-1257 / Harvested from Project Euclid
For the first order moving average we consider a proposal by Walker (Biometrika, 1961) to use $k$ sample autocorrelations $(1 < k < T, T$ sample size), to estimate the first autocorrelation of the model, and hence its basic parameter. When $k = k_T \rightarrow \infty$ as $T \rightarrow \infty$, the estimator is proved consistent and asymptotically normal and efficient, the latter provided $k_T$ dominates $\log T$ and is dominated by $T^\frac{1}{2}$. An alternative form of the estimator facilitates the calculations and the analysis of the role of $k$, without changing the asymptotic properties.
Publié le : 1977-11-14
Classification:  First order moving average model,  approximate maximum likelihood estimation,  consistent and asymptotically efficient estimators,  62M10,  62M99
@article{1176344012,
     author = {Mentz, Raul Pedro},
     title = {Estimation in the First Order Moving Average Model Based on Sample Autocorrelations},
     journal = {Ann. Statist.},
     volume = {5},
     number = {1},
     year = {1977},
     pages = { 1250-1257},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176344012}
}
Mentz, Raul Pedro. Estimation in the First Order Moving Average Model Based on Sample Autocorrelations. Ann. Statist., Tome 5 (1977) no. 1, pp.  1250-1257. http://gdmltest.u-ga.fr/item/1176344012/