http://swrc.ontoware.org/ontology#UnrefereedArticle
On Misspecified ARMA Model Fittings to Exponential Processes
en
ARMA(1,1) model fitting
EX(2) process
misspecification
conditional Gaussian likelihood function.
Tanaka Minoru
We investigate some properties on a misspecified Gaussian ARMA(p,q) model fitting to Exponential processes with order 2 (abbreviated to EX(2) process). Our main purposes are to get to know a number of globally and locally maximal points of the conditional quasi-maximum (Gaussian) likelihood function when the sample size is sufficiently large. We shall derive a mathematical form of the conditional quasi-maximum likelihood function of the ARMA(1,1) model parameters, and investigate the conditions for EX(2) parameters on which the ARMA(1,1) conditional Gaussian likelihood function has more than one locally maximal points in the stationary and invertible ARMA(1,1) parameter space.
The Institute of Information Science Senshu University
application/pdf
1349-1938
Information Science and Applied Mathematics
23
19-23
2015
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