41 citations · 174 across the 9 of their papers we have counts for
9 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…
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…
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…
Improved Pena-Rodriguez Portmanteau Test
Jen-Wen Lin, A. Ian McLeod
Several problems with the diagnostic check suggested by Pena and Rodriguez [2002. A powerful portmanteau test of lack of fit for time series. J. Amer. Statist. Assoc. 97, 601-610.]…
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…