http://swrc.ontoware.org/ontology#UnrefereedArticle
On Some Properties of ARMA(1,1) Model Fitting to AR(2) Processes
en
ARMA(1,1) model fitting
AR(2) process
misspecification
locally minimal points
Catastrophe Theory
Tanaka Minoru
This paper gives a discussion on a misspecified ARMA(1,1) model fitting to an AR(2) process. The problem concerning a number of globally and locally maximal points of the conditional likelihood function is investigated when the sample size tends to infinity. We shall 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.
The Institute of Information Science Senshu University
application/pdf
1349-1938
Information Science and Applied Mathematics
20
1-15
2012