The consistency of the least squares estimator of the parameter of the first order moving average time series is proven for the parameter in the interval $\lbrack -1, 1 \rbrack$.
Publié le : 1983-03-14
Classification:
Moving average process,
consistent estimation,
least squares estimator,
noninvertible case,
62M10,
62F10
@article{1176346083,
author = {Macpherson, Brian D. and Fuller, Wayne A.},
title = {Consistency of the Least Squares Estimator of the First Order Moving Average Parameter},
journal = {Ann. Statist.},
volume = {11},
number = {1},
year = {1983},
pages = { 326-329},
language = {en},
url = {http://dml.mathdoc.fr/item/1176346083}
}
Macpherson, Brian D.; Fuller, Wayne A. Consistency of the Least Squares Estimator of the First Order Moving Average Parameter. Ann. Statist., Tome 11 (1983) no. 1, pp. 326-329. http://gdmltest.u-ga.fr/item/1176346083/