SOME PROPERTIES OF CONDITIONAL QUASI-LIKELIHOOD FUNCTIONS FOR TIME SERIES MODEL FITTING |
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Authors: | Mituaki Huzii |
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Affiliation: | Tokyo Institute of Technology |
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Abstract: | Abstract. We consider fitting a parametric model to a time series and obtain the maximum likelihood estimates of unknown parameters included in the model by regarding the time series as a Gaussian process satisfying the model. We evaluate the asymptotic value of the conditional quasi-likelihood function when the number of observations tends to infinity. We show what properties of the time series we can find by examining the behaviour of the conditional quasi-likelihood function, even when the time series does not necessarily satisfy the model and is not necessarily Gaussian. |
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Keywords: | Autoregressive model moving-average model model fitting conditional quasi-likelihood function |
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