<abstract xmlns="http://www.w3.org/1999/xhtml"><p> Most recorded data of continuous distributions are rounded to the nearest decimal place due to the precision of the recording mechanism. This rounding entails errors in estimation and measurement. In this study, we consider parameter estimation of time series models based on rounded data. The adjusted maximum likelihood estimates in [Stam, A.-Cogger, K. O.: Rounding errors in autoregressive processes, Internat. J. Forecast. 9 (1993), 487-508] are derived theoretically for the first order moving average MA(1) model. Simulations are performed to compare the efficiencies of the adjusted maximum likelihood estimators with other estimators.</p></abstract>

Most recorded data of continuous distributions are rounded to the nearest decimal place due to the precision of the recording mechanism. This rounding entails errors in estimation and measurement. In this study, we consider parameter estimation of time series models based on rounded data. The adjusted maximum likelihood estimates in [Stam, A.-Cogger, K. O.: Rounding errors in autoregressive processes, Internat. J. Forecast. 9 (1993), 487-508] are derived theoretically for the first order moving average MA(1) model. Simulations are performed to compare the efficiencies of the adjusted maximum likelihood estimators with other estimators.

Estimation of ma(1) model based on rounded data

Department of Applied Mathematics National Sun Yat-sen University Kaohsiung, Taiwan 804 R.O.C.

Tatra Mountains Mathematical Publications

{"article-title":"Estimation of ma(1) model based on rounded data"}

Most recorded data of continuous distributions are rounded to the nearest decimal place due to the precision of the recording mechanism. This rounding entails...

Estimation of ma(1) model based on rounded data

Online veröffentlicht: 13. Nov. 2012

Seitenbereich: 45 - 53

DOI: https://doi.org/10.2478/v10127-012-0005-0

Schlüsselwörter
adjusted maximum likelihood estimate, moving average model, parameter estimation, rounded data.

This content is open access.

Estimation of ma(1) model based on rounded data

Online veröffentlicht: 13. Nov. 2012

Seitenbereich: 45 - 53

DOI: https://doi.org/10.2478/v10127-012-0005-0

Schlüsselwörteradjusted maximum likelihood estimate, moving average model, parameter estimation, rounded data.

This content is open access.

Schlüsselwörter
adjusted maximum likelihood estimate, moving average model, parameter estimation, rounded data.