Fitting MA(q) models in the closed invertible region
The use of reparameterization in the maximization of the likelihood function of the MA(q) model is discussed. A general method for testing for the presence of a parameter estimate on the boundary of an MA(q) model is presented. This test is illustrated with a brief simulation experiment for the MA(q) for q=1,2,3,4 in which it is shown that the probability of an estimate being on the boundary increases with q.
Year of publication: |
2006
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Authors: | Zhang, Y. ; McLeod, A.I. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 13, p. 1331-1334
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Publisher: |
Elsevier |
Keywords: | Admissible region for the autoregressive-moving average time series ARMA model reparameterization Numerical maximum likelihood estimation |
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