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Evaluating some Yule-Walker Methods with the Maximum-Likelihood Estimator for the Spectral ARMA Model
2008
TEMA
Preserved Fulltext
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