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On a Misspecified ARMA Model Fitting to a Data from Gaussian ARMA Process
https://doi.org/10.34360/00007633
https://doi.org/10.34360/000076334c5c25f3-0218-4c50-b2de-87c1e6e02877
名前 / ファイル | ライセンス | アクション |
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3093_0022_07 (397.5 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2015-04-28 | |||||
タイトル | ||||||
タイトル | On a Misspecified ARMA Model Fitting to a Data from Gaussian ARMA Process | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Minoru, Tanaka, ARMA(p,q) model fitting, conditional maximum likelihood function, Gaussian, locally minimal points, misspecification. | |||||
資源タイプ | ||||||
資源タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.34360/00007633 | |||||
ID登録タイプ | JaLC | |||||
作成者 |
Tanaka, Minoru
× Tanaka, Minoru |
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内容記述 | ||||||
内容記述 | This paper provides computer simulations concerning a misspecified ARMA(p, q) model fitting to (a data generated from) an ARMA(p, q+1) process, and also a misspecified ARMA(p+h, q) model fitting to an ARMA(p, q+k) process. They are mainly concerned with a problem for finding a number of locally maximal points of a conditional Gaussian likelihood function of the model when the sample size is large. It is detected that when p=q=1 and h=k=1, the conditional likelihood function of the ARMA(2,1) model has more than one locally maximal points if the model is fitted to a data generated from an ARMA(1,2) process. Also in the case where p=3, q=3 and k=3 it is seen that the conditional likelihood function of the ARMA(3,3) model has at least five locally maximal points if the model is fitted to a data generated from an ARMA(3,6) process. | |||||
公開者 | ||||||
出版者 | The Institute of Information Science Senshu University | |||||
ISSN | ||||||
収録物識別子 | 1349-1938 | |||||
書誌情報 |
en : Information Science and Applied Mathematics 巻 22, p. 29-38, 発行日 2014 |
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出版タイプ | ||||||
出版タイプ | NA |