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- W2311412087 abstract "This note is concerned with the asymptotic properties of pairwise like- lihood estimation procedures for linear time series models. The latter includes ARMA as well as fractionally integrated ARMA processes, where the fractional integration parameter d 0.25, the pairwise likelihood estimator is not even asymptotically normal. A comparison between using all pairs and consecutive pairs of observations in defining the likelihood is given. We also explore the application of pairwise likelihood to a popular nonlinear model for time series of counts. In this case, the likelihood based on the entire data set cannot be computed without resorting to simulation-based procedures. On the other hand, it is possible to numerically compute the pairwise likelihood precisely. We illustrate the good performance of pairwise likelihood in this case." @default.
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- W2311412087 date "2011-01-01" @default.
- W2311412087 modified "2023-09-27" @default.
- W2311412087 title "COMMENTS ON PAIRWISE LIKELIHOOD IN TIME SERIES MODELS" @default.
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