Fitting MA(q) models in the closed invertible region

DOI10.1016/J.SPL.2006.01.010MaRDI QIDQ2497787zbMATH OpenOpenAlexFDO

Authors Y. Zhang, A. Ian McLeod

Publication date 4 August 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.04907

zbMATH Keywords

admissible region for autoregressive-moving average time seriesARMA model reparameterizationnumerical maximum likelihood estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: 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.

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Cites work

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• On the parametrization of autoregressive models by partial autocorrelations

Cited in

(5)

• Autocovariance varieties of moving average random fields
• Thresholds of moving averages of stationary processes for given target significant levels
• Faster ARMA maximum likelihood estimation
• Improved maximum likelihood estimation of ARMA models
• The restricted likelihood ratio test for autoregressive processes

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Uses Software

• Mathematica

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