Evaluating some Yule-Walker Methods with the Maximum-Likelihood Estimator for the Spectral ARMA Model
DOI:
https://doi.org/10.5540/tema.2008.09.02.0175Abstract
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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