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

M.I.S. Bezerra, Y. Iano, M.H. Tarumoto
2008 TEMA  
The aim of this work is to compare some ARMA spectral separated estimation 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.
doi:10.5540/tema.2008.09.02.0175 fatcat:bt65eeez5bccvpc2yjxyph66ky