Estimation of MA(1) model based on rounded data
Guo, Meihui ; Li, Gen-Liang
Tatra Mountains Mathematical Publications, Tome 51 (2012), / Harvested from Mathematical Institute
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Most recorded data of continuous distributions are rounded tothe nearest decimal place due to the precision of the recording mechanism. Thisrounding entails errors in estimation and measurement. In this study, we considerparameter estimation of time series models based on rounded data. The adjustedmaximum likelihood estimates of Stam and Cogger (1993) are derived theoreti-cally for the first order moving average MA(1) model. Simulations are performedto compare the e±ciencies of the adjusted maximum likelihood estimators withother estimators.

Publié le : 2012-01-01
DOI : https://doi.org/10.2478/tatra.v51i1.146 
@article{146,
     title = {Estimation of MA(1) model based on rounded data},
     journal = {Tatra Mountains Mathematical Publications},
     volume = {51},
     year = {2012},
     doi = {10.2478/tatra.v51i1.146},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/146}
}

Guo, Meihui; Li, Gen-Liang. Estimation of MA(1) model based on rounded data. Tatra Mountains Mathematical Publications, Tome 51 (2012) . doi : 10.2478/tatra.v51i1.146. http://gdmltest.u-ga.fr/item/146/