Biquadratic functions: stationarity and invertibility in estimated time-series models.
It is important that the estimates of the parameters of an autoregressive moving-average (ARMA) model should satisfy the conditions of stationarity and invertibility. It can be shown that the unconditional maximum-likelihood estimates are bound to fill these conditions regardless of the size of the sample from which they are derived; and, in some quarters, it has been argued that they should be used in preference to any other estimates when the size of he sample is small. However, the maximum-likelihood...