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On Some Properties of ARMA(1,1) Model Fitting to AR(2) Processes
https://doi.org/10.34360/00007619
https://doi.org/10.34360/000076190392d0ff-0a3f-4291-9c6c-006227a834ef
名前 / ファイル | ライセンス | アクション |
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3093_0020_05 (1.7 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2013-06-28 | |||||
タイトル | ||||||
タイトル | On Some Properties of ARMA(1,1) Model Fitting to AR(2) Processes | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | ARMA(1,1) model fitting, AR(2) process, misspecification, locally minimal points, Catastrophe Theory | |||||
資源タイプ | ||||||
資源タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.34360/00007619 | |||||
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 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. | |||||
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 20, p. 1-15, 発行日 2012 |
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出版タイプ | ||||||
出版タイプ | NA |