Consistency of the Least Squares Estimator of the First Order Moving Average Parameter

Brian D. Macpherson; Wayne A. Fuller

doi:10.1214/aos/1176346083

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Home > Journals > Ann. Statist. > Volume 11 > Issue 1 > Article

March, 1983 Consistency of the Least Squares Estimator of the First Order Moving Average Parameter

Brian D. Macpherson, Wayne A. Fuller

Ann. Statist. 11(1): 326-329 (March, 1983). DOI: 10.1214/aos/1176346083

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Abstract

The consistency of the least squares estimator of the parameter of the first order moving average time series is proven for the parameter in the interval $\lbrack -1, 1 \rbrack$.

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Brian D. Macpherson. Wayne A. Fuller. "Consistency of the Least Squares Estimator of the First Order Moving Average Parameter." Ann. Statist. 11 (1) 326 - 329, March, 1983. https://doi.org/10.1214/aos/1176346083

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Published: March, 1983

First available in Project Euclid: 12 April 2007

zbMATH: 0509.62082

MathSciNet: MR684890

Digital Object Identifier: 10.1214/aos/1176346083

Subjects:

Primary: 62M10

Secondary: 62F10

Keywords: consistent estimation , least squares estimator , Moving average process , noninvertible case

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Ann. Statist.

Vol.11 • No. 1 • March, 1983

Institute of Mathematical Statistics

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Brian D. Macpherson, Wayne A. Fuller "Consistency of the Least Squares Estimator of the First Order Moving Average Parameter," The Annals of Statistics, Ann. Statist. 11(1), 326-329, (March, 1983)

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