id	summary	reporter	owner	description	type	status	priority	milestone	component	version	severity	resolution	keywords	cc
428	Serious problems with MA models	César Pérez Álvarez	Víctor de Buen Remiro	"Hi!

If we try this model:
Serie g = SubSer(Gaussian(0, 1, Mensual), y1990m01d01, y2006m01d01);
Serie noise = DifEq(((1-0.8*B^12)*(1-0.6*B))/((1-B)*(1-B^12)), g);

Set MD = ModelDef(noise, 1, 0, 12, 0, (1-B)*(1-B^12), 
SetOfPolyn(1 , 1), SetOfPolyn(1-0.1*B, 1-0.1*B^12), Copy(Empty), Copy(Empty));
Set ME = Estimate(MD, First(noise), Last(noise));

The estimated parameters are very different to real ones. The residuals series has enormous values at the beginning.

This behaviour occurs with this model too:

Serie g = SubSer(Gaussian(0, 1, Mensual), y1990m01d01, y2006m01d01);
Serie noise = DifEq(((1-0.6*B)*(1-0.3*B))/(1-B), g);

Set MD = ModelDef(noise, 1, 0, 1, 0, (1-B), 
SetOfPolyn(1 , 1), SetOfPolyn(1-0.1*B-0.1*B^2, 1), Copy(Empty), Copy(Empty));
Set ME = Estimate(MD, First(noise), Last(noise));

However if we estimate this model:

Serie g = SubSer(Gaussian(0, 1, Mensual), y1990m01d01, y2006m01d01);
Serie noise = DifEq((1-0.6*B)/(1-B), g);

Set MD = ModelDef(noise, 1, 0, 1, 0, (1-B), 
SetOfPolyn(1 , 1), SetOfPolyn(1-0.1*B, 1), Copy(Empty), Copy(Empty));
Set ME = Estimate(MD, First(noise), Last(noise));

The estimated parameter does not move and stays in 0.1."	defect	closed	highest		Math	head	blocker	fixed