International Journal of Stochastic Analysis / 2011 / Article / Tab 1 / Research Article
Yule-Walker Estimation for the Moving-Average Model Table 1 Approximate bias, variance, and Mean Squared Error of the Method of Moments and the Maximum Likelihood Estimator for the MA(1) parameter from 1000 replications.
Bias Var MSE Bias Var MSE MME
−0.403345
0.00020972
0.162897
0.0931052
0.00097912
0.00964771
MLE
0.01795
0.00015984
0.00048204
0.020949
0.00062347
0.00104331
Bias Var MSE Bias Var MSE MME
−0.123812
0.00021444
0.0155439
0.0217928
0.00097912
0.00145404
MLE
0.00521
0.00031329
0.00034043
0.00599
0.00063936
0.00067524
Bias Var MSE Bias Var MSE MME
−0.0422653
0.00021173
0.00199808
0.0123275
0.00097912
0.00113109
MLE
−0.00116
0.00022068
0.00022202
0.00275
0.00062348
0.00063104
Bias Var MSE Bias Var MSE MME
−0.00708814
0.00023768
0.00028792
−0.00166597
0.00097912
0.00098189
MLE
0.00313
0.00029131
0.00036115
0.00386
0.00065544
0.00067034