Estimating moving average parameters in the presence of measurement error |
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| Authors: | Bruce K. Koons Robert V. Foutz |
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| Affiliation: | 1. Shell Development Company , Houston, Texas, 77251-1380;2. Department of Statistics , Virginia Polytechnic Institute and State University , Blacksburg, 24061-0439, Virginia |
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| Abstract: | Suppose that a moving average time series Xt is not observed, but instead Yt = Xt + ?t is observed, where ?t, is measurement error. Estimation of the parameters of Xt has previously been considered under the assumption that Xt and ?t are uncorrelated. The case where Xt and ?t have known cross covariances is considered here, and a method is described for estimating the parameters of Xt. A simulation compares four estimators for a MA(1) series parameter in the presence of measurement error. |
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| Keywords: | Moving average process measurement enor parameter estimalion |
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