View : 165 Download: 0

Maximum Likelihood Estimation For Arma Models in the Presence of Arma Errors

Title
Maximum Likelihood Estimation For Arma Models in the Presence of Arma Errors
Authors
Lee J.H.Shin D.W.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
1997
Journal Title
Communications in Statistics - Theory and Methods
ISSN
0361-0926JCR Link
Citation
Communications in Statistics - Theory and Methods vol. 26, no. 5, pp. 1057 - 1072
Indexed
SCIE; SCOPUS scopus
Document Type
Article
Abstract
An ARMA(p, q) process observed with an ARMA(c, d) error has an ARMA (p + c, k) representation with k = max(c + q, p + d) whose parameters satisfy some nonlinear constraints. Identification of the model is discussed. We develop Newton-Raphson estimators for the ARMA(p + c, k) process which take advantage of the information contained in the nonlinear restrictions. Explicit expressions for the derivatives of the restrictions are derived.
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