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On Misspecified ARMA Model Fittings to Some Stationary Processes
https://doi.org/10.34360/00007625
https://doi.org/10.34360/00007625829d82e4-9baa-4563-b125-2acbbb45c1dd
名前 / ファイル | ライセンス | アクション |
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3093_0021_05 (675.3 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2014-07-18 | |||||
タイトル | ||||||
タイトル | On Misspecified ARMA Model Fittings to Some Stationary Processes | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | ARMA process, ARMA(1,1) and MA(2) model fitting, conditional likelihood function, locally minimal points, misspecification | |||||
資源タイプ | ||||||
資源タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.34360/00007625 | |||||
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 discussions on (i) a misspecified ARMA(1,1) model fitting to MA(2) processes, and also on (ii) a misspecified MA(2) model fitting to AR(2) processes. They are mainly concerned a problem for finding a number of locally maximal points of the conditional likelihood function of the models when the sample size tends to infinity. It is detected in the case (i) that the general conditions for MA(2) parameters on which the conditional likelihood function of the ARMA(1,1) model has more than one locally maximal points in the stationary and invertible parameter space. Also in the case (ii) it is seen that the MA(2) model has three locally maximal points in the invertible parameter space if the model is fitted to special AR(2) processes. These results are inspected by simulation. | |||||
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 21, p. 1-20, 発行日 2013 |
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出版タイプ | ||||||
出版タイプ | NA |