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math.ST2007★ 33 cited
Pile-up probabilities for the Laplace likelihood estimator of a non-invertible first order moving average
F. Jay Breidt, Richard A. Davis, Nan-Jung Hsu +1
The first-order moving average model or MA(1) is given by , with independent and identically distributed . This is arguably the simplest time series mo…
math.ST2006★ 34 cited
Estimation for almost periodic processes
Keh-Shin Lii, Murray Rosenblatt
Processes with almost periodic covariance functions have spectral mass on lines parallel to the diagonal in the two-dimensional spectral plane. Methods have been given for estimati…