Faster ARMA maximum likelihood estimation

Computational Statistics and Data Analysis

Volumn 52, Issue 4, 2008, Pages 2166-2176

  McLeod, A I ^a   Zhang, Y ^b  

^a UNIVERSITY OF WESTERN ONTARIO   (Canada)

^b ACADIA UNIVERSITY   (Canada)

Author keywords

Autoregressive approximation; Efficiency of the sample mean; High order autoregression; Long time series and massive data sets; Maximum likelihood estimator; Quantitative programming environments

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; COMPUTER PROGRAMMING LANGUAGES; COMPUTER SIMULATION; MATLAB;

AUTOREGRESSIVE APPROXIMATIONS; EFFICIENCY OF THE SAMPLE MEAN; HIGH-ORDER AUTOREGRESSIONS; LONG TIME SERIES; MASSIVE DATA SETS; QUANTITATIVE PROGRAMMING ENVIRONMENTS;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 35748937373     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.07.020     Document Type: Article

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