Fitting MA(q) models in the closed invertible region

DOI10.1016/J.SPL.2006.01.010zbMATH Open1094.62118arXiv1611.04907OpenAlexW2158449790MaRDI QIDQ2497787FDOQ2497787

Authors: Y. Zhang, A. Ian McLeod 

Publication date: 4 August 2006

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

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.

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

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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)

Cites Work

• On the parametrization of autoregressive models by partial autocorrelations
• Title not available (Why is that?)
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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

Uses Software

• Mathematica

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