[R-SIG-Finance] arima estimation - how many data points are needed?
alexios
alexios at 4dscape.com
Fri Jan 6 02:25:20 CET 2012
Depends...but you might want to read this:
http://en.wikipedia.org/wiki/Estimator
and see section under "Asymptotic normality" (sqrt(n)).
If you want a direct proof for ARMA see this:
http://eprints.lse.ac.uk/5825/1/Gaussian_maximum_likelihood_estimation_for_ARMA_models_I%28LSERO%29.pdf
Regards,
Alexios
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!
>
> [[alternative HTML version deleted]]
>
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