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

Authors

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

DOI:

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

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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Published

2008-06-01

How to Cite

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

Issue

Vol. 9 No. 2 (2008)

Section

Original Article

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