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AI 根据所提供的论文材料归类:摘要直接比较 ARMA 参数估计、迭代收敛与高斯情形下的渐近效率,属于时间序列方法。

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关注这篇论文的作者
E. J. Hannan
A. J. McDougall

ARMA 参数估计的回归方法

研究问题
如何用回归方法为 ARMA 模型的高斯似然迭代提供初值,不同迭代方案的收敛性和渐近效率有何区别?
方法与思路
作者比较 Spliid 与 Hannan–Rissanen 程序,研究前者的迭代修改及收敛结果,并用一阶 ARMA 示例和模拟说明。
材料陈述的贡献
摘要称原迭代不总收敛,修改程序具有相应收敛结果;高斯情形下第三阶段渐近有效,所述分析倾向采用 Hannan–Rissanen 方法。
阅读关注点
应核对各阶段的回归变量、修改程序的定义和收敛结论范围,以及模型阶数由数据确定时这些理论建议的适用性。
阅读边界
依据 OpenAlex 索引摘要,稿件版本未注明,不能推断刊本变化;所给文本有数学符号缺失,须查原 PDF,不能重构公式或扩展收敛条件。

原文摘要

Regression procedures for parameter estimation in autoregression moving average (ARMA) models are discussed, mainly for providing initial estimates for iterative maximization of a Gaussian likelihood. An iterative procedure of Spliid (1983) is compared to a procedure of Hannan and Rissanen (1982), and a global convergence result is established for an iterative modification of Spliid's procedure. Spliid's iteration does not always converge; when it does, it has the same asymptotic distribution as the second stage of the Hannan-Rissanen procedure. This second-stage iteration gives the same problems as Spliid's procedure, so it is preferable to go immediately to the third stage, which is asymptotically efficient in the Gaussian case. An example is provided by a first-order ARMA model, y(t) + αy(t − 1) = ε(t) + βε(t −1), under the usual regularity conditions of stationarity and invertibility. Spliid's procedure fits an autoregression of predetermined order (i.e., 2) to obtain estimates of the ε(t), and then regresses y(t) on y(t − 1) and to obtain estimates and . These estimates are used to filter the data to obtain a further estimate ; the procedure is iterated until the sequence of estimates of α and β converges. Convergence will not take place unless αβ < ½. If the order of the autoregression in Spliid's procedure is chosen by the information criterion and only the first regression on y(t − 1) and is carried out, the first two stages of the Hannan-Rissanen procedure result. Then and converge strongly as T → ∞ to α and β, and they also obey a central limit theorem. The modified Spliid procedure replaces by the residuals from the first regression, and so on. In a restricted sense, this iteration always converges in the ARMA case, and will generally do so if the positive real condition for the moving average transfer function is satisfied [see (1.5) in Sec. 1]. Simulations bear out the theory. In practice, there will be no true ARMA system; in any case, the ARMA orders will need to be determined from the data. Thus the results are of suggestive value only. Nevertheless, these suggestions favor the Hannan-Rissanen procedure.

笔记与分组