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Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity

✍ Scribed by Mika Meitz; Pentti Saikkonen

Book ID
119300444
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
423 KB
Volume
114
Category
Article
ISSN
0047-259X

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We consider a multiple autoregressive model with non-normal error distributions, the latter being more prevalent in practice than the usually assumed normal distribution. Since the maximum likelihood equations have convergence problems (Puthenpura and Sinha, 1986) [11], we work out modified maximum