Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models
不可逆性与误设 ARMA 模型的伪极大似然估计
Recently Tanaka and Satchell [11] investigated the limiting properties of local maximizers of the Gaussian pseudo-likelihood function of a misspecified moving average model of order one in case the spectral density of the data process has a zero at frequency zero. We show that pseudo-maximum likelihood estimators in the narrower sense, that is, global maximizers of the Gaussian pseudo-likelihood function, may exhibit behavior drastically different from that of the local…