Comparison between the least squares, maximum likelihood and bayes estimation of simple arma models

DOI10.1080/00949658108810457zbMath0456.62073OpenAlexW2072406515MaRDI QIDQ3906289

Harri Hietikko

Publication date: 1981

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658108810457

zbMATH Keywords

comparisonBayes estimationleast squaresARMA modelsfull maximum likelihoodmean likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• The exact likelihood function for a mixed autoregressive-moving average process
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