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A METHOD FOR ESTIMATING PARAMETER IN NONNEGATIVE MA(1) MODELS |
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| Abstract: | ABSTRACT A method for estimating parameter in nonnegative MA(1) models is proposed and investigated in the paper. The method also gives nontrivial confidence sets on confidence level 1. Small sample properties of new estimator are demonstrated in a simulation study. |
| Keywords: | Nonnegative time series Moving-average models Estimating parameters |