| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1154670 | Statistics & Probability Letters | 2006 | 4 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Y. Zhang, A.I. McLeod,