2013年3月
On Some Properties of ARMA(1,1) Model Fitting to AR(2) Processes
専修大学 情報科学研究所・ Information Science and Applied Mathematics
- 巻
- 20
- 号
- 開始ページ
- 1-15
- 終了ページ
- 15
- 記述言語
- 英語
- 掲載種別
- 出版者・発行元
- The Institute of Information Science Senshu University
This paper gives a discussion on a misspecified ARMA(1,1) model fitting to an AR(2) process. A number of globally and locally points of the conditional likelihood function is investigated when the sample size tends to infinity. We detect the conditions of AR(2) parameters on which the ARMA(1,1) conditional likelihood function has more than one locally maximal points in the stationary and invertible parameter space.
- リンク情報
- ID情報
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- ISSN : 1349-1938
- CiNii Articles ID : 120005296947