Fitting MA(q) Models in the Closed Invertible Region
arXiv:1611.04907 · doi:10.1016/j.spl.2006.01.010
Abstract
The use of reparameterization in the maximization of the likelihood function of the MA(q) model is discussed. A general method for testing for the presence of a parameter estimate on the boundary of an MA(q) model is presented. This test is illustrated with a brief simulation experiment for the MA(q) for q=1,2,3,4 in which it is shown that the probability of an estimate being on the boundary increases with q.
8 pages, 1 table