Maximum Likelihood Estimation of ARMA Model with Error Processes for Replicated Observations
In this paper we analyse the repeated time series model where the fundamental component follows a ARMA process. In the model, the error variance as well as the number of repetition are allowed to change over time. It is shown that the model is identified. The maximum likelihood estimator is derived using the Kalman filter technique. The model considered in this paper can be considered as extension of the models considered by Anderson (1978), Azzalini (1981) and Wong and Miller (1990)
|Date of creation:||2002|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.fas.nus.edu.sg/ecs/index.html|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Wong, Wing-Keung & Bian, Guorui, 2005.
"Estimating parameters in autoregressive models with asymmetric innovations,"
Statistics & Probability Letters,
Elsevier, vol. 71(1), pages 61-70, January.
- Wing-Keung Wong & Guorui Bian, 2004. "Estimating Parameters in Autoregressive Models with Asymmetric Innovations," Departmental Working Papers wp0408, National University of Singapore, Department of Economics.
- Meher Manzur & Wing-Keung Wong & Inn-Chau Chee, 1999. "Measuring international competitiveness: experience from East Asia," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1383-1391.
- Wong, Wing-Keung & Li, Chi-Kwong, 1999. "A note on convex stochastic dominance," Economics Letters, Elsevier, vol. 62(3), pages 293-300, March.
When requesting a correction, please mention this item's handle: RePEc:nus:nusewp:wp0217. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.