DIFFERENTIAL GEOMETRY OF ARMA MODELS

Nalini Ravishanker, Edward L. Melnick and Chih‐Ling Tsai

Journal of Time Series Analysis, 1990, vol. 11, issue 3, 259-274

Abstract: Abstract. A general approach for the development of a statistical inference on autoregressive moving‐average (ARMA) models is presented based on geometric arguments. ARMA models are characterized as members of the curved exponential family. Geometric properties of ARMA models are computed and used to suggest parameter transformations that satisfy predetermined properties. In particular, the effect on the asymptotic bias of the maximum likelihood estimator of model parameters is illustrated. Hypothesis testing of parameters is discussed through the application of a modified form of the likelihood ratio test statistic.

Date: 1990
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https://doi.org/10.1111/j.1467-9892.1990.tb00057.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:11:y:1990:i:3:p:259-274

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