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时间序列模型适切性检验的蒙特卡洛研究AI 解读

In this article, we conduct a Monte Carlo experiment of several computationally attractive tests of model adequacy in time series analysis. The experiment is designed to examine the small-sample properties of tests of fitted autoregressive and moving average models, to compare the performances of asymptotically equivalent procedures, to consider the effects on estimated significance levels and powers of testing against both appropriate and inappropriate alternatives, to…

多元自回归移动平均模型的精确似然函数AI 解读

By making use of the properties of tensor products, this paper describes the derivation of an expression for the exact likelihood function of a stationary process generated by a vector autoregressive-moving average model using concentrated maximum likelihood techniques. Furthermore, in the process of deriving the likelihood function, a closed form expression for the covariance function of the process in terms of the coefficients of the model is derived.