IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v39y2018i3p433-446.html
   My bibliography  Save this article

Estimating MA Parameters through Factorization of the Autocovariance Matrix and an MA†Sieve Bootstrap

Author

Listed:
  • Timothy L. McMurry
  • Dimitris N. Politis

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.

Suggested Citation

  • Timothy L. McMurry & Dimitris N. Politis, 2018. "Estimating MA Parameters through Factorization of the Autocovariance Matrix and an MA†Sieve Bootstrap," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(3), pages 433-446, May.
    • Handle: RePEc:bla:jtsera:v:39:y:2018:i:3:p:433-446
    DOI: 10.1111/jtsa.12296
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/jtsa.12296
    Download Restriction: no
    File URL: https://libkey.io/10.1111/jtsa.12296?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Paulo M. D. C. Parente & Richard J. Smith, 2021. "Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
    2. Ma, Bin & Guo, Xing & Li, Penghui, 2023. "Adaptive energy management strategy based on a model predictive control with real-time tuning weight for hybrid energy storage system," Energy, Elsevier, vol. 283(C).
    3. Jonas Krampe & Timothy L. McMurry, 2021. "Estimating wold matrices and vector moving average processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(2), pages 201-221, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:39:y:2018:i:3:p:433-446. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.