Some effects of rounding errors on arma(1,1) models

References

• Ansley , Craig F. 1979 . An algorithm for the exact likelihood of a mixed autoregressive-moving average process . Biometrika , 66 : 59 – 65 .
   Web of Science ®Google Scholar
• Ansley , Craig F. and Newbold , Paul . 1980 . Finite sample properties of estimators for autoregressive moving average models . Journal of Econometrics , 13 : 159 – 183 .
   Web of Science ®Google Scholar
• Ansley , Craig F. , Allen Spivey , W. and Wrobleski , William J. 1974 . On the structure of moving average processes . Journal of Econometrics , 6 : 121 – 134 .
   Google Scholar
• Beaton , Albert E. , Rubin , Donald B. and Barone , John L. 1976 . The acceptability of regression solutions: another look at computational accuracy . Journal of the American Statistical Association , 71 : 158 – 168 .
   Web of Science ®Google Scholar
• Box , George E.P. and Jenkins , Gwilym M. 1976 . Time Series Analysis: Forecasting and Control , Oakland, CA : Holden-Day .
   Google Scholar
• Dempster , Arthur P. and Rubin , Donald B. 1983 . Rounding error in regression: the appropriateness of Sheppard’s corrections . Journal of the Royal Statistical Society , 45 : 51 – 59 .
   Google Scholar
• Dent , W. and Min , A-S. 1978 . A Monte Carlo study of autoregressive integrated moving average processes . Journal of Econometrics , 7 : 23 – 55 .
   Google Scholar
• Harvey, Andrew C. and Garry D.A. Phillips (1977). 'A Comparison of estimators in the ARMA( 1,1) model,' University of Kent (unpublished paper)
   Google Scholar
• Jones , Richard H. 1980 . Maximum likelihood fitting of ARMA models to time series with missing observations . Technometrics , 22 : 389 – 395 .
   Web of Science ®Google Scholar
• Machak , Joseph A. and Rose , Elizabeth L. 1984 . Uniform additive outliers in ARMA models . Proceedings of the American Statistical Association, Business and Economic Statistics Section , 22 : 577 – 580 .
   Google Scholar
• Machak, Joseph A. and Elizabeth L. Rose (1985). 'Robust identification and estimation of time series,' Proceedings of the American Statistical Association, Business and Economic Statistics Section
   Google Scholar
• Marquardt , Donald W. 1963 . An algorithm for least squares estimates of non-linear parameters . Journal of the Society for Industrial and Applied Mathematics , 11
   Google Scholar
• Mcleod , Ian. 1975,1977 . Derivation of the theoretical autocovariance function of the autoregressive-moving average time series . Applied Statistics , 24 : 255 – 256 .
   Web of Science ®Google Scholar
• Walker , A.M. 1960 . Some consequences of superimposed error in time series analysis . Biometrika , 47 : 33 – 43 .
   Web of Science ®Google Scholar