Estimation of MA(1) model based on rounded data

DOI10.2478/V10127-012-0005-0MaRDI QIDQ2913229zbMATH OpenOpenAlexFDO

Authors Gen-Liang Li, Meihui Guo

Publication date 26 September 2012

Published in Tatra Mountains Mathematical Publications (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.2478/v10127-012-0005-0

zbMATH Keywords

adjusted maximum likelihood estimatemoving average modelparameter estimationrounded data

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

This paper addresses the problem of estimation for MA(1) models when the observations are contaminated by rounding errors. Adjusted maximum likelihood estimates of the model parameters are derived and are compared with some existing estimators in the literature by simulations.

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Cited in

(3)

• Statistical analysis for rounded data
• Statistical analysis for rounded data
• Analysis of accumulated rounding errors in autoregressive processes

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