کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1149350 957874 2013 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Improved likelihood-based inference for the MA(1) model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Improved likelihood-based inference for the MA(1) model
چکیده انگلیسی

An improved likelihood-based method is proposed to test for the significance of the first-order moving average model. Compared with commonly used tests which depend on the asymptotic properties of the maximum likelihood estimate and the likelihood ratio statistic, the proposed method has remarkable accuracy. Application of the method to a data set on book sales is presented to demonstrate the implementation of the method. Simulation studies are subsequently performed to illustrate the accuracy of the method compared to the traditional methods. Additionally, a simple and effective correction is used to deal with the boundary problem.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 143, Issue 1, January 2013, Pages 209–219
نویسندگان
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