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Maximum Likelihood Estimating of the Covariance Matrix of the ARMA Model Using Band Matrix
Behzad Mansouri , Rahim Chinipardaz
Abstract:   (294 Views)

In this paper, using Band matrix, a method has been proposed to estimating the covariance matrix of the ARMA model and the likelihood function of the ARMA model with diagonal covariance matrix has been obtained and approximations for Kullback-Leibler and Chernoff criteria were presented. In addition, two rules for discriminating the ARMA models has been proposed. A simulation and real data sets are used to illustrate the performance of the proposed rules. Significant reduction of the calculations for large time series and low discrimination error rate are two characteristics of the proposed rules. In addition no need to normal assumption is showed in a theorem.

Keywords: ARMA model, Band matrix, Likelihood function, Discrimination of time series.
Full-Text [PDF 5994 kb]   (58 Downloads)    
Type of Study: Research | Subject: Time Series
Received: 2016/04/14 | Accepted: 2018/03/1 | Published: 2018/04/22
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Mansouri B, Chinipardaz R. Maximum Likelihood Estimating of the Covariance Matrix of the ARMA Model Using Band Matrix. J. of Stat. Sci.. 2018; 12 (1)
URL: http://jss.irstat.ir/article-1-463-en.html


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مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences
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