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Fitting MA(q) models in the closed invertible region

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  • Zhang, Y.
  • McLeod, A.I.

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.

Suggested Citation

  • Zhang, Y. & McLeod, A.I., 2006. "Fitting MA(q) models in the closed invertible region," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1331-1334, July.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:13:p:1331-1334
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    References listed on IDEAS

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    1. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, April.
    2. Barndorff-Nielsen, O. & Schou, G., 1973. "On the parametrization of autoregressive models by partial autocorrelations," Journal of Multivariate Analysis, Elsevier, vol. 3(4), pages 408-419, December.
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    Cited by:

    1. McLeod, A.I. & Zhang, Y., 2008. "Faster ARMA maximum likelihood estimation," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 2166-2176, January.
    2. F. Al-Awadhi & A. Soltani, 2009. "Thresholds of moving average of stationary processes for given on target significant levels," Computational Statistics, Springer, vol. 24(3), pages 431-440, August.

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