An approximate maximum likelihood procedure is proposed for the estimation of parameters in possibly nonminimum phase (noninvertible) moving average processes driven by independent and identically distributed non-Gaussian noise. Under appropriate conditions, parameter estimates that are solutions of likelihood-like equations are consistent and are asymptotically normal. A simulation study for MA(2) processes illustrates the estimation procedure.
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Volume (Year): 43 (1992) Issue (Month): 2 (November) Pages: 272-299 Download reference. The following formats are available: HTML
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