Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend

Weechang Kang; Dong Wan Shin; Youngjo Lee

doi:10.1016/S0378-3758(02)00239-2

Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend

Weechang Kang, Dong Wan Shin, Youngjo Lee

Department of Statistics

Research output: Contribution to journal › Article › peer-review

14 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	163-176
Number of pages	14
Journal	Journal of Statistical Planning and Inference
Volume	116
Issue number	1
DOIs	https://doi.org/10.1016/S0378-3758(02)00239-2
State	Published - 1 Sep 2003

Bibliographical note

Funding Information:
This research is supported by a grant from the SRCCS of the Korean Science and Engineering Foundation.

Keywords

Autoregressive moving average process
Bias
Polynomial time trend
Restricted likelihood
Restricted maximum likelihood estimator

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Cite this

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title = "Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend",

abstract = "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.",

keywords = "Autoregressive moving average process, Bias, Polynomial time trend, Restricted likelihood, Restricted maximum likelihood estimator",

author = "Weechang Kang and {Wan Shin}, Dong and Youngjo Lee",

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AU - Wan Shin, Dong

AU - Lee, Youngjo

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PY - 2003/9/1

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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

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JF - Journal of Statistical Planning and Inference

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Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend

Abstract

Bibliographical note

Keywords

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