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

DOI10.1080/03610926.2016.1185119zbMath1377.62182OpenAlexW2509685682MaRDI QIDQ4586593

Kohei Noguchi, Fumiaki Honda, Takeshi Kurosawa

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

zbMATH Keywords

asymptotic expansionbias reductionmaximum-likelihood estimatorGaussian MA(1) model

Mathematics Subject Classification ID

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

Related Items (2)

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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