107 citations
- Memorial University of NewfoundlandCA5 papers
- Western UniversityCA4 papers
- Mount Allison UniversityCA3 papers
- Belarusian State University of TransportBY2 papers
- Joint Institute for Nuclear ResearchRU2 papers
- Jožef Stefan InstituteSI2 papers
- Burnaby HospitalCA1 paper
- Center for High Pressure Science and Technology Advanced ResearchCN1 paper
- Chinese Academy of SciencesCN1 paper
- Computer Algorithms for MedicineAT1 paper
- Dalhousie UniversityCA1 paper
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5 papers · 2 filters
Fitting MA(q) Models in the Closed Invertible Region
Ying Zhang, A. Ian McLeod
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…
Partial autocorrelation parameterization for subset autoregression
A. Ian McLeod, Ying Zhang
A new version of the partial autocorrelation plot and a new family of subset autoregressive models are introduced. A comprehensive approach to model identification, estimation and…
Computer Algebra Derivation of the Bias of Burg Estimators
Ying Zhang, A. Ian McLeod
A symbolic method is discussed which can be used to obtain the asymptotic bias and variance to order for estimators in stationary time series. Using this method the bias t…
Faster ARMA maximum likelihood estimation
A. Ian McLeod, Ying Zhang
A new likelihood based AR approximation is given for ARMA models. The usual algorithms for the computation of the likelihood of an ARMA model require flops per function eval…
Developments in Maximum Likelihood Unit Root Tests
Ying Zhang, H. Yu, A. I. McLeod
The exact maximum likelihood estimate (MLE) provides a test statistic for the unit root test that is more powerful \citep[p. 577]{Fuller96} than the usual least squares approach. I…