Keyword: autoregressive moving average, least squares, estimation

論文タイトル On the numerical implementation of the generalized least squares procedure for arma estimation
出版情報 Communications in Statistics - Simulation and Computation, Volume 24, Issue 1, 1995
著者 M. O. Salau
概要(abstract) "This paper provides a formal justification for using the generalized least squares procedure to estimate scalar autoregressive moving average models and also suggests an alternative numerical method for evaluating the generalized least squares estimator. The proposed technique makes use of a sequence of recursions supplemented by relatively simple matrix calculations and is at least an order of magnitude faster than the existing methods. Simulation experiments are performed to compare the relative computational efficiency of the suggested method."
使用されているNAG製品 シミュレーション実験が行われる際の各プロセスのデータはNAGの乱数生成器を使用して生成されている。 当該ルーチンはARMA構造から実現値を生成している。


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