70 citations · 271 across the 12 of their papers we have counts for
12 papers
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…
Power Computations for Intervention Analysis
A. Ian McLeod, Evelyn R. Vingilis
In many intervention analysis applications time series data may be expensive or otherwise difficult to collect. In this case the power function is helpful since it can be used to d…
Improved weather generator algorithm for multisite simulation of precipitation and temperature
Leanna M. King, Ian McLeod, Slobodan P. Simonovic
The KnnCAD Version 4 weather generator algorithm for nonparametric, multisite simulations of temperature and precipitation data is presented. The K-nearest neighbour weather genera…
Improved spread-location visualization
A. Ian McLeod
The spread-location plot has often been used as a diagnostic plot suitable for many types of fitted statistical models. The spread-location plot which plots the absolute residual o…
Parsimony, model adequacy and periodic correlation in forecasting time series
A. Ian McLeod
The merits of the modelling philosophy of Box \& Jenkins (1970) are illustrated with a summary of our recent work on seasonal river flow forecasting. Specifically, this work demons…
Necessary and Sufficient Condition for Nonsingular Fisher Information Matrix in ARMA Models
A. Ian McLeod
It is demonstrated that a necessary and sufficient condition that the Fisher information matrix of an ARMA model be nonsingular is that the model not be redundant, that is, the aut…
Portmanteau Tests for ARMA Models with Infinite Variance
Jen-Wen Lin, A. Ian McLeod
Autoregressive and moving-average (ARMA) models with stable Paretian errors is one of the most studied models for time series with infinite variance. Estimation methods for these m…
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…
Mean likelihood estimators
Ian McLeod, Benoit Quenneville
The use of {\it Mathematica} in deriving mean likelihood estimators is discussed. Comparisons between the maximum likelihood estimator, the mean likelihood estimator and the Bayes…
Hyperbolic decay time series
A. Ian McLeod
Hyperbolic decay time series such as, fractional Gaussian noise (FGN) or fractional autoregressive moving-average (FARMA) process, each exhibit two distinct types of behaviour: str…
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…
Improved multivariate portmanteau test
Esam Mahdi, A. Ian McLeod
A new portmanteau diagnostic test for vector autoregressive moving average (VARMA) models that is based on the determinant of the standardized multivariate residual autocorrelation…