On the criterion function for ARMA estimation (Q689416)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the criterion function for ARMA estimation |
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On the criterion function for ARMA estimation (English)
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5 December 1993
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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.
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time series
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small sample bias
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bias reduction
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asymptotic maximum- likelihood estimators
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stationary ARMA-models
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stationarity
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invertibility
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conditional least-squares estimators
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matrix representation
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Toeplitz matrices
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circulant matrices
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frequency domain approximation
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