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A Note on How to Impose Stationarity and Invertibility Conditions in ARMA Model Estimation
Daisuke Nagakura
其他書名
A Review
出版
SSRN
, 2009
URL
http://books.google.com.hk/books?id=UNjGzgEACAAJ&hl=&source=gbs_api
註釋
In this note, I review how to impose the stationarity and invertibility conditions in estimating ARMA models with unconstrained optimization. Specifically, I reintroduce a convenient transformation of unconstrained variables proposed by Jones (1980), illustrating how to compute its inverse transformation and partial derivatives.