View : 22 Download: 0

Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend

Title
Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
Authors
Kang W.Wan Shin D.Lee Y.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2003
Journal Title
Journal of Statistical Planning and Inference
ISSN
0378-3758JCR Link
Citation
vol. 116, no. 1, pp. 163 - 176
Indexed
SCIE; SCOPUS WOS scopus
Abstract
In order to estimate autoregressive moving average models with a general polynomial time trend, the restricted or residual likelihood is considered. The autoregressive moving average parameter estimator maximizing the restricted likelihood has shown to have the second-order bias equivalent to the maximum likelihood estimator computed under the assumption that the polynomial time trend parameters are known. © 2002 Elsevier Science B.V. All rights reserved.
DOI
10.1016/S0378-3758(02)00239-2
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE