Estimating MA Parameters through Factorization of the Autocovariance Matrix and an MA‐Sieve Bootstrap. (23rd March 2018)

• Record Type: Journal Article
• Authors: McMurry, Timothy L.; Politis, Dimitris N.
• Other Names: Lahiri Soumendra N. guestEditor.; Politis Dimitris N. guestEditor.; Robinson Peter M. guestEditor.
• Is Part Of: Journal of time series analysis. Volume 39:Number 3(2018)
• Page Start: 433
• Page End: 446
• Publication Date: 2018-03-23
• Subjects: ARMA models -- sieve bootstrap -- Wold representation; Time-series analysis -- Periodicals; 519.232
• DOI: 10.1111/jtsa.12296
• Languages: English
• ISSNs: 0143-9782

Abstract

Abstract : 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 to implement an MA‐type sieve bootstrap. Finite‐sample simulations corroborate the good performance of the proposed methodology.