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Inference for MA(1) processes with a root on or near the unit circle
Inference for MA(1) processes a root on or near the unit circle
2009/9/22
This paper considers maximum likelihood estimation
(MLE) for MA(1) processes when the moving average parameter is on
or near the unit circle. The asymptotic theory to be presented allows
the use of...
Recursive estimation of possibly misspecified MA(1) models：Convergence of a general algorithm
time series Robbins-Monro PLR AML RML1 RML2 misspecified models
2010/4/27
We introduce a recursive algorithm of conveniently general form
for estimating the coefficient of a moving average model of order one and
obtain convergence results for both correct and misspecified...
