On the criterion function for ARMA estimation (Q689416)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 445185
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On the criterion function for ARMA estimation |
scientific article; zbMATH DE number 445185 |
Statements
On the criterion function for ARMA estimation (English)
0 references
5 December 1993
0 references
It is shown that the asymptotic maximum-likelihood estimators for the parameters of stationary ARMA-models fulfill the conditions of stationarity and invertibility. For the criterion function of the conditional least-squares estimators, a matrix representation with lower- triangular Toeplitz matrices is given. Using circulant matrices a matrix representation is given of the frequency domain approximation of the likelihood function. It is shown that in this two cases the conditions of stationarity and invertibility are not always satisfied. Further some methods for reducing the bias of the estimators in the case of small samples are discussed.
0 references
time series
0 references
small sample bias
0 references
bias reduction
0 references
asymptotic maximum- likelihood estimators
0 references
stationary ARMA-models
0 references
stationarity
0 references
invertibility
0 references
conditional least-squares estimators
0 references
matrix representation
0 references
Toeplitz matrices
0 references
circulant matrices
0 references
frequency domain approximation
0 references
0 references
0 references
0.8538424372673035
0 references
0.8006227016448975
0 references
0.7989081740379333
0 references
