Table 1. Simulated averages and standard errors of parameter estimates using the ARMA(2,2) model when the true covariance structure is ARMA(2,2) (No. simulations = 200).
Pattern | |||
1 | 2 | 3 | |
Proportion | |||
0.300/0.301(0.022) | 0.500/0.497(0.027) | 0.200/0.202(0.022) | |
Mean vector | |||
2.000/1.999(0.234) | 2.050/2.032(0.183) | 2.100/2.121(0.312) | |
0.500/0.495(0.074) | −0.400/−0.393(0.060) | 0.600/0.606(0.115) | |
−0.800/−0.803(0.062) | 0.700/0.697(0.063) | −0.700/−0.713(0.105) | |
−0.500/−0.497(0.035) | −0.600/−0.601(0.031) | −0.500/−0.501(0.054) | |
1.000/1.004(0.025) | 1.100/1.099(0.026) | 1.000/1.000(0.040) | |
120.000/120.020(0.190) | 135.000/134.992(0.197) | 140.000/140.037(0.426) | |
Covariance | |||
1.300/1.300(0.016) | |||
−0.400/−0.401(0.015) | |||
0.700/0.700(0.017) | |||
0.120/0.118(0.011) | |||
0.700/0.698(0.010) |