Some Conventional Identification Procedures for ARMA (1,0) with Small Parameter Values: A Simulation Study PDF

Keywords

parameter values, simulation, ARMA

Abstract

The behaviour of an ARMA process for parameter values closer to unity has been of paramount interest in the literature. Various studies have been undertaken for this case. The present study undertakes the problem of a small parameter value when it is closer to zero and therefore the process being on the boundary of a white noise process. Some conventional procedures for identification of ARMA (1,0) process with small parameter values are evaluated using simulation