The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 6, Number 4 (1996), 1157-1190.
Parameter estimation for moving averages with positive innovations
This paper continues the study of time series models generated by nonnegative innovations which was begun by Feigin and Resnick. We concentrate on moving average processes. Estimators for moving average coefficients are proposed and consistency and asymptotic distributions established for the case of an order-one moving average assuming either the right or the left tail of the innovation distribution is regularly varying. The rate of convergence can be superior to that of the Yule-Walker or maximum likelihood estimators.
Ann. Appl. Probab., Volume 6, Number 4 (1996), 1157-1190.
First available in Project Euclid: 24 October 2002
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Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60B10: Convergence of probability measures 60F05: Central limit and other weak theorems 60G55: Point processes 60E20 26F10 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Feigin, Paul D.; Kratz, Marie F.; Resnick, Sidney I. Parameter estimation for moving averages with positive innovations. Ann. Appl. Probab. 6 (1996), no. 4, 1157--1190. doi:10.1214/aoap/1035463327. https://projecteuclid.org/euclid.aoap/1035463327