Bias reduction of the maximum-likelihood estimator for a conditional Gaussian MA(1) model

DOI10.1080/03610926.2016.1185119zbMATH Open1377.62182OpenAlexW2509685682MaRDI QIDQ4586593FDOQ4586593

Authors: Takeshi Kurosawa, Kohei Noguchi, Fumiaki Honda 

Publication date: 27 October 2017

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1185119

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zbMATH Keywords

asymptotic expansionbias reductionmaximum-likelihood estimatorGaussian MA(1) model

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (3)

• Estimation bias and feasible conditional forecasts from the first-order moving average model
• Bias reduction for standard and extreme estimates
• Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model

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