 PROFILE SUMMARIES FOR ARIMA TIME SERIES MODEL PARAMETERSRaymond L. H. Lam and Donald G. Watts Journal of Time Series Analysis, 1991, vol. 12, issue 3, 225-235 Abstract: Abstract. Autoregressive intergrated moving average (ARIMA) times series models are nonlinear in the parameters and so summarizing the inferential results for such models can be difficult. A common approach is to present parameter joint and marginal inference regions based on the linear approximation, and although such approximate regions are easy to calculate, it is not known generally whether they approximate the true regions adequately. In this paper we present exact approaches for summarizing the inferential results for time series model parameters, called profile t and profile trace plots, which are based on the work of Bates and Watts. Calculations for the profile plots are simple and can be used to determine exact regions, and so can be used to assess the accuracy of linear approximation regions. In addition to developing the profile plots for time series models, the main finding of the paper is that, for ARIMA model parameters, linear approximation regions are very satisfactory except when a parameter estimate is within about two standard errors of the stationarity or invertibility region boundary. Date: 1991 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:12:y:1991:i:3:p:225-235 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Time Series Analysis is currently edited by M.B. Priestley More articles in Journal of Time Series Analysis from Wiley Blackwell |
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