Estimating MA parameters through factorization of the autocovariance matrix and an MA-sieve bootstrap
نویسندگان
چکیده
A new method to estimate the moving-average (MA) coefficients of a stationary time series is proposed. The new approach is based on the modified Cholesky factorization of a consistent estimator of the autocovariance matrix. Convergence rates are established, and the new estimates are used in order to implement a MA-type sieve bootstrap. Finite-sample simulations corroborate the good performance of the proposed methodology.
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