ABSTRACT
A method for estimating parameter in nonnegative MA(1) models is proposed and investigated in the paper. The method also gives nontrivial confidence sets on confidence level 1. Small sample properties of new estimator are demonstrated in a simulation study.
ACKNOWLEDGMENTS
The authors are grateful to two anonymous referees. Their comments substantially improved the paper. Financial support from grants GAČCR 201/00/0770 and CEZ: J13/98: 113200008 is gratefully acknowledged.