Some aspects of parameter inference for nearly nonstationary and nearly non invertible ARMA models (II).

Juha Ahtola; George C. Tiao

Qüestiió (1984)

  • Volume: 8, Issue: 4, page 155-163
  • ISSN: 0210-8054

Abstract

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This article will extend the discussion in Ahtola and Tiao (1984a) of the finite sample distribution of the score function in nearly nonstationary first order autoregressions to nearly noninvertible first order moving average models. This distribution theory can be used to appreciate the behavior of the score function in situations where the asymptotic normal theory is known to give poor approximations in finite samples.The approximate distributions suggested here can be used to test for the value of the moving average parameter when it is close to unity. In particular, a test for noninvertibility can be obtained with an exact finite sample distribution of the test statistic under the null hypothesis.

How to cite

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Ahtola, Juha, and Tiao, George C.. "Some aspects of parameter inference for nearly nonstationary and nearly non invertible ARMA models (II).." Qüestiió 8.4 (1984): 155-163. <http://eudml.org/doc/40035>.

@article{Ahtola1984,
abstract = {This article will extend the discussion in Ahtola and Tiao (1984a) of the finite sample distribution of the score function in nearly nonstationary first order autoregressions to nearly noninvertible first order moving average models. This distribution theory can be used to appreciate the behavior of the score function in situations where the asymptotic normal theory is known to give poor approximations in finite samples.The approximate distributions suggested here can be used to test for the value of the moving average parameter when it is close to unity. In particular, a test for noninvertibility can be obtained with an exact finite sample distribution of the test statistic under the null hypothesis.},
author = {Ahtola, Juha, Tiao, George C.},
journal = {Qüestiió},
keywords = {Series temporales; Modelo ARMA; Distribución normal; Muestreo},
language = {eng},
number = {4},
pages = {155-163},
title = {Some aspects of parameter inference for nearly nonstationary and nearly non invertible ARMA models (II).},
url = {http://eudml.org/doc/40035},
volume = {8},
year = {1984},
}

TY - JOUR
AU - Ahtola, Juha
AU - Tiao, George C.
TI - Some aspects of parameter inference for nearly nonstationary and nearly non invertible ARMA models (II).
JO - Qüestiió
PY - 1984
VL - 8
IS - 4
SP - 155
EP - 163
AB - This article will extend the discussion in Ahtola and Tiao (1984a) of the finite sample distribution of the score function in nearly nonstationary first order autoregressions to nearly noninvertible first order moving average models. This distribution theory can be used to appreciate the behavior of the score function in situations where the asymptotic normal theory is known to give poor approximations in finite samples.The approximate distributions suggested here can be used to test for the value of the moving average parameter when it is close to unity. In particular, a test for noninvertibility can be obtained with an exact finite sample distribution of the test statistic under the null hypothesis.
LA - eng
KW - Series temporales; Modelo ARMA; Distribución normal; Muestreo
UR - http://eudml.org/doc/40035
ER -

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