ARMA(1,1)的参数估计——公式推导

ARMA(1,1)

$$y_t={\varphi }_0+{\varphi }_1{y}_{t-1}+{\theta }_1{ϵ}_{t-1}+{ϵ}_t$$其中，${ϵ}_t\stackrel{i.i.d.}{\sim }N(0,{\sigma }_{ϵ}^2)$

极大似然估计

假设观测数据集为 { y 1 , … , y T } \{y_1,\ldots,y_T\} { y1​,…,yT​}，令$\theta =({\varphi }_0,{\varphi }_1,{\theta }_1,{\sigma }_{ϵ}^2{)}^{\prime }$，
则有似然函数：
$$\begin{array}{rl}L(\theta )& =f_{\theta }(y_1,\dots ,y_T)\\ & =\prod _{t=2}^T{f}_{\theta }(y_t|y_{t-1})f_{\theta }(y_1)\end{array}$$其中，$y_1\sim N(\frac{{\varphi }_0}{1-{\varphi }_1},\frac{({\theta }_1^2+1){\sigma }_{ϵ}^2}{1-{\varphi }_1^2})$

1. $y_1$服从正态分布？
   ARMA(1,1)平稳，则$|{\varphi }_1|<1$
   y t = ϕ 0 + ϕ 1 y t − 1 + θ 1 ϵ t − 1 + ϵ t = ϕ 0 + ϕ 1 ϕ 0 + ϕ 1 2 y t − n + ϕ 1 θ 1 ϵ t − 2 + ϕ 1 ϵ t − 1 + θ 1 ϵ t − 1 + ϵ t = … = ϕ 0 ∑ i = 0 n − 1 ϕ 1 i + ϕ 1 n y t − n + ∑ i = 2 n ϕ 1 i − 1 θ 1 ϵ t − i + ∑ i = 1 n − 1 ϕ 1 i ϵ t − i + θ 1 ϵ t − 1 + ϵ t \begin{align*} y_t&=\phi_0+\phi_1y_{t-1}+\theta_1\epsilon_{t-1}+\epsilon_t \\ &=\phi_0+\phi_1\phi_0+\phi_1^2y_{t-n}+\phi_1\theta_1\epsilon_{t-2}+\phi_1\epsilon_{t-1}+\theta_1\epsilon_{t-1}+\epsilon_t \\ &=\ldots \\ &=\phi_0\sum\limits_{i=0}^{n-1}\phi_1^i+\phi_1^ny_{t-n}+\sum\limits_{i=2}^{n}\phi_1^{i-1}\theta_1\epsilon_{t-i}+\sum\limits_{i=1}^{n-1}\phi_1^i\epsilon_{t-i}+\theta_1\epsilon_{t-1}+\epsilon_t \end{align*} yt​​=ϕ