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

Autores

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

DOI:

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

Resumo

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.

Referências

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M.I.S. Bezerra, G. Stanghenhaus, Uma Compara¸c˜ao entre L-Estimadores de Regress˜ao, in “Anais do X Simp´osio Nacional de Probabilidade e Estat´ıstica”, p. 76, ABE, Caxamb´u, 1996.

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Publicado

2008-06-01

Como Citar

Bezerra, M., Iano, Y., & Tarumoto, M. (2008). Evaluating some Yule-Walker Methods with the Maximum-Likelihood Estimator for the Spectral ARMA Model. Trends in Computational and Applied Mathematics, 9(2), 175–184. https://doi.org/10.5540/tema.2008.09.02.0175

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Artigo Original