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Article overview
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Fitting MA(q) Models in the Closed Invertible Region | | Ying Zhang
; A. Ian McLeod
; | | Date: |
15 Nov 2016 | | 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. | | Source: | arXiv, 1611.4907 | | Services: | Forum | Review | PDF | Favorites | |
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