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초록
In this paper, asymptotic results are investigated when a parametric transformation is applied to ARMA models. The conditions are determined to ensure the strong consistency and the asymptotic normality of maximum likelihood estimators and the correct coverage probability of the forecast interval obtained by the transformation and backtransformation approach.
키워드
Coverage probability; equicontinuous; uniform convergence
- 제목
- Asymptotics in Transformed ARMA Models
- 저자
- 여인권
- 발행일
- 2011-01
- 권
- 18
- 호
- 1
- 페이지
- 71 ~ 77