Estimation of Parameters of a Clipped MA(1) Process

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F11%3A10103281" target="_blank" >RIV/00216208:11320/11:10103281 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1080/03610926.2010.484161" target="_blank" >http://dx.doi.org/10.1080/03610926.2010.484161</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/03610926.2010.484161" target="_blank" >10.1080/03610926.2010.484161</a>

Result language
angličtina
Original language name
Estimation of Parameters of a Clipped MA(1) Process
Original language description
Let ${X_t, t in mathbb{Z}}$ be a sequence of iid random variables with an absolutely continuous distribution. Let $a }0$ and $cinmathbb{R}$ be some constants. We consider a sequence of 0-1 valued variables ${xi_t, tinmathbb{Z}}$ obtained byclipping an MA(1) process $X_t-aX_{t-1}$ at the level $c$, i.e., $xi_{t}=mathsf{I}[X_t-aX_{t-1} {c]$ for all $t in mathbb{Z}$. We deal with the estimation problem in this model. Properties of the estimators of the parameters $a$ and $c$, the successprobability $p$, and the 1-lag autocorrelation $r_1$ are investigated. A numerical study is provided as an illustration of the theoretical results.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
—

Project
<a href="/en/project/GA201%2F08%2F0486" target="_blank" >GA201/08/0486: Statistical analysis of functional random variable and its applications</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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