We investigate some properties on a misspecified Gaussian ARMA(p,q) model fitting to Exponential processes with order 2 (abbreviated to EX(2) process). Our main purposes are to get to know a number of globally and locally maximal points of the conditional quasi-maximum (Gaussian) likelihood function when the sample size is sufficiently large. We shall derive a mathematical form of the conditional quasi-maximum likelihood function of the ARMA(1,1) model parameters, and investigate the conditions for EX(2) parameters on which the ARMA(1,1) conditional Gaussian likelihood function has more than one locally maximal points in the stationary and invertible ARMA(1,1) parameter space.
公開者
The Institute of Information Science Senshu University
On Misspecified ARMA Model Fittings to Exponential Processes
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