On least-squares estimation of the residual variance in the first-order moving average model.

DOI10.1016/S0167-9473(98)00080-2zbMath1042.62517OpenAlexW1969625014MaRDI QIDQ1285512

Raul Pedro Mentz, Pedro Alberto Morettin, Clélia M. C. Toloi

Publication date: 28 April 1999

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(98)00080-2

zbMATH Keywords

Asymptotic biasLeast squaresAsymptotic mean square errorMoving average modelResidual variance estimation

Mathematics Subject Classification ID

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

Uses Software

• ITSM
• bootstrap

Cites Work

• Time series: theory and methods.
• Bias correction in ARMA models
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• On Residual Variance Estimation in Autoregressive Models
• Residual variance estimation in moving average models
• Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models
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