Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study
نویسندگان
چکیده
منابع مشابه
Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study
Abstract We analyze by simulation the properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p; d; q). The estimators considered are the exact maximum likelihood for demeaned data, EML, the associated modi ed pro le likelihood, MPL, and the Whittle estimator with, WLT, and without tapered dat...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 1999
ISSN: 0378-3758
DOI: 10.1016/s0378-3758(98)00252-3