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Details for article 14 of 18 found articles
| Title: |
On the numerical implementation of the generalized least squares procedure for arma estimation |
| Author: |
Salau, M. O. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 24 (1995) nr. 1 pages 111-130 |
| Year: |
1995 |
| Contents: |
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. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 14 of 18 found articles
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