Biometrika 1987 74(3):667; doi:10.1093/biomet/74.3.667
© 1987 by Biometrika Trust
AMENDMENTS AND CORRECTIONS |
Estimation and hypothesis testing for collections of autoregressive time series
Formulae for
and
on p. 87 do not hold for all
, since they may not satisfy the constraint
induced by the parameterization. Then the expressions do not give maximum likelihood estimates for given
. When the inequality fails, the maximum likelihood estimates are on the boundary of the parameter space, namely where
. The maximum then occurs for
both equal to
given at p. 88, shortly after (7). Formula (6) still applies, provided the appropriate expressions for
and
are used. In the definition of drs, near (2), the subscript t r + s should read t + r s.