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Browsing Department of Mathematics and Statistics by Author "Khamisian, Baret"

Browsing Department of Mathematics and Statistics by Author "Khamisian, Baret"

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  • Khamisian, Baret (Notre Dame University-Louaize., 2019-10-09)
    The main objective of this work is to find a more straightforward method for estimating the parameters of an equally spaced discrete autoregressive process by using maximum likelihood estimation (MLE) considering it is challenging to obtain the parameters of a nonlinear optimization procedure. The resulting estimated values are tested through simulation and then compared with those obtained using the previous MLE and Yule-Walker estimation. The achieved result yields slightly increased accuracy. Another problem we tackle is the Yule-Walker estimators for the continuous autoregressive models ...

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