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Biometrika 1981 68(3):691-694; doi:10.1093/biomet/68.3.691
© 1981 by Biometrika Trust
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Small-sample properties of the maximum likelihood estimator in the first-order moving average model

JONATHAN D. CRYER and JOHANNES LEDOLTER

Department of Statistics, University of Iowa Iowa City

In this paper we discuss finite sample properties of the maximum likelihood estimator in the first-order moving average model. We give a theoretical explanation for the concentration of values at the invertibility boundary. We derive the exact distribution of for sample size n=2 which is found to be of mixed type. For general n we give approximations for pr (=1).

Key Words: First-order moving average • Maximum likelihood • Time series


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