PARAMETER ESTIMATION FOR MOVING AVERAGES WITH POSITIVE INNOVATIONS
成果类型：
Article
署名作者：
Feigin, Paul D.; Kratz, Marie F.; Resnick, Sidney I.
署名单位：
Technion Israel Institute of Technology; Cornell University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
1996
页码：
1157-1190
关键词：
摘要：
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.