Fitting MA(q) models in the closed invertible region

Y. Zhang and A.I. McLeod

Statistics & Probability Letters, 2006, vol. 76, issue 13, 1331-1334

Abstract: The use of reparameterization in the maximization of the likelihood function of the MA(q) model is discussed. A general method for testing for the presence of a parameter estimate on the boundary of an MA(q) model is presented. This test is illustrated with a brief simulation experiment for the MA(q) for q=1,2,3,4 in which it is shown that the probability of an estimate being on the boundary increases with q.

Keywords: Admissible; region; for; the; autoregressive-moving; average; time; series; ARMA; model; reparameterization; Numerical; maximum; likelihood; estimation (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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