Evaluating some Yule-Walker Methods with the Maximum-Likelihood Estimator for the Spectral ARMA Model

M.I.S. Bezerra, Y. Iano, M.H. Tarumoto

Abstract


The aim of this work is to compare some ARMA spectral separatede stimation methods based on the modified Yule-Walker equation and least squares method with the Maximum-Likelihood estimator, using the convergence curve of the relative mean error (RME), generated by Monte Carlo simulation.

References


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DOI: https://doi.org/10.5540/tema.2008.09.02.0175

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Trends in Computational and Applied Mathematics

A publication of the Brazilian Society of Applied and Computational Mathematics (SBMAC)

 

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