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

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.