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修正与勘误

AMENDMENTS AND CORRECTIONS

Biometrika · 1990
被引 0
ABS 4

中文导读

本文指出Pötscher发现原定理2证明中存在漏洞,并给出σ²(p,p)(.)单调递减的正式证明,从而恢复原论文结论的严谨性。

Abstract

‘A modified Hannan-Rissanen strategy for mixed autoregressive-moving average order determination’ Dr B. M. Pötscher has pointed out that there is a lacuna in the proof of Theorem 2 presented in this paper in the sense that it relies upon a previously unsubstantiated statement, namely that σ2(p.p)(.)is monotonically nonincreasing in p. In actual fact the quantities σ2(p.p)(.) are strictly decreasing in p for p < max (po, qo). A formal proof of this heuristically appealing result, which is by no means trivial, is given by Pötscher (1990), and, thereby, the conclusions of this paper are rigorously restored.

时间序列分析自回归移动平均模型计量经济学数学证明