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Estimation of MA(1) model based on rounded data

In: Tatra Mountains Mathematical Publications, vol. 51, no. 1
Meihui Guo - Gen-Liang Li
Detaily:
Rok, strany: 2012, 45 - 53
Kľúčové slová:
adjusted maximum likelihood estimate, moving average model, parameter estimation, rounded data
O článku:
Most recorded data of continuous distributions are rounded to the nearest decimal place due to the precision of the recording mechanism. This rounding entails errors in estimation and measurement. In this study, we consider parameter estimation of time series models based on rounded data. The adjusted maximum likelihood estimates in [Stam, A.—Cogger, K. O.: \textit{Rounding errors in autoregressive processes}, Internat. J. Forecast. 9 (1993), 487–508] are derived theoretically for the first order moving average MA(1) model. Simulations are performed to compare the efficiencies of the adjusted maximum likelihood estimators with other estimators.
Ako citovať:
ISO 690:
Guo, M., Li, G. 2012. Estimation of MA(1) model based on rounded data. In Tatra Mountains Mathematical Publications, vol. 51, no.1, pp. 45-53. 1210-3195.

APA:
Guo, M., Li, G. (2012). Estimation of MA(1) model based on rounded data. Tatra Mountains Mathematical Publications, 51(1), 45-53. 1210-3195.