TY - JOUR
T1 - Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
AU - Kang, Weechang
AU - Wan Shin, Dong
AU - Lee, Youngjo
N1 - Funding Information:
This research is supported by a grant from the SRCCS of the Korean Science and Engineering Foundation.
PY - 2003/9/1
Y1 - 2003/9/1
N2 - In order to estimate autoregressive moving average models with a general polynomial time trend, the restricted or residual likelihood is considered. The autoregressive moving average parameter estimator maximizing the restricted likelihood has shown to have the second-order bias equivalent to the maximum likelihood estimator computed under the assumption that the polynomial time trend parameters are known.
AB - In order to estimate autoregressive moving average models with a general polynomial time trend, the restricted or residual likelihood is considered. The autoregressive moving average parameter estimator maximizing the restricted likelihood has shown to have the second-order bias equivalent to the maximum likelihood estimator computed under the assumption that the polynomial time trend parameters are known.
KW - Autoregressive moving average process
KW - Bias
KW - Polynomial time trend
KW - Restricted likelihood
KW - Restricted maximum likelihood estimator
UR - http://www.scopus.com/inward/record.url?scp=0037632788&partnerID=8YFLogxK
U2 - 10.1016/S0378-3758(02)00239-2
DO - 10.1016/S0378-3758(02)00239-2
M3 - Article
AN - SCOPUS:0037632788
SN - 0378-3758
VL - 116
SP - 163
EP - 176
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
IS - 1
ER -