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 $X_t=Z_t-{\theta }_0{Z}_{t-1}$, with independent and identically distributed $\{Z_t\}$. This is arguably the simplest time series mo…