[R-SIG-Finance] arima estimation - how many data points are needed?
alexios at 4dscape.com
Fri Jan 6 02:25:20 CET 2012
Depends...but you might want to read this:
and see section under "Asymptotic normality" (sqrt(n)).
If you want a direct proof for ARMA see this:
On 06/01/2012 00:59, Michael wrote:
> Hi all,
> In arima model estimation in R, what's the minimal number of data points
> that's needed for a meaningful statistically sound estimation for, say,
> ARMA(1, 1) model?
> Is there a rule-of-thumb?
> Thanks a lot!
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