Consistency of the Least Squares Estimator of the First Order Moving Average Parameter
Brian D. Macpherson, Wayne A. Fuller
The Annals of Statistics · 1983 · Volume 11 · Issue 1
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 $\lbrack -1, 1 \rbrack$.
Keywords
62F10, 62M10, consistent estimation, least squares estimator, Moving average process, noninvertible case
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