Parameter estimation for moving averages with positive innovations

Annals of Applied Probability

Volumn 6, Issue 4, 1996, Pages 1157-1190

  Feigin, Paul D ^a   Kratz, Marie F ^b   Resnick, Sidney I ^c  

^a TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

^b UNIVERSITÉ PARIS DESCARTES   (France)

^c Cornell University   (United States)

Author keywords

Autoregressive processes; Consistency; Linear programming; Moving average processes; Parameter estimation; Poisson processes; Time series analysis; Weak convergence

Indexed keywords

EID: 0030370303     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1035463327     Document Type: Article

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