Modified maximum-likelihood method for non-normal time series revisited

Date

2004-01-01

Author

ULA, TA
Yozgatlıgil, Ceylan

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The modified maximum-likelihood method has recently been applied to some non-normal time series models. Our evaluation of these applications revealed that several of the information matrices given in these studies are not correct due to incorrect evaluation of the process mean, and that the estimators for some of the models with a location parameter are not correct. We correct these results. We address to several other issues and propose modifications. We also made some additional simulations, especially for the location parameter case for which there were a very limited number of previous results. Our results indicate that estimations with a location parameter are not as successful as those with no location parameter, and also that the convergence properties of the method are not very favourable.

Subject Keywords

Statistics and Probability

URI

https://hdl.handle.net/11511/37300

Journal

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

DOI

https://doi.org/10.1081/sta-120028381

Collections

Department of Statistics, Article

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Citation Formats

T. ULA and C. Yozgatlıgil, “Modified maximum-likelihood method for non-normal time series revisited,” COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, pp. 397–417, 2004, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/37300.