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Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study.

Shitan, Mahendran and Peiris, Shelton (2008) Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study. Communications in Statistics: Simulation and Computation, 37 (3). pp. 560-570. ISSN 0361-0918; ESSN: 1532-4141

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Abstract

This article evaluates the performance of two estimators namely, the Maximum Likelihood Estimator (MLE) and Whittle's Estimator (WE), through a simulation study for the Generalised Autoregressive (GAR) model. As expected, it is found that for the parameters and σ2, the MLE and WE have a better performance than Method of Moments (MOM) estimator. For the parameter δ, MOM sometimes appears to have a slightly better performance than MLE and WE, possibly due to truncation approximations associated with the hypergeometric functions for calculating the autocorrelation function. However, the MLE and WE can be used in practice without loss of efficiency.

Item Type:Article
Keyword:Generalised autoregressive (GAR) process,Method of moments estimates; Maximum likelihood estimates,Simulation, Whittle’s estimates.
Faculty or Institute:Faculty of Science
Publisher:Taylor & Francis
DOI Number:10.1080/03610910701649598
Altmetrics:http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1080/03610910701649598
ID Code:7027
Deposited By: Najwani Amir Sariffudin
Deposited On:02 Jun 2010 02:30
Last Modified:29 Oct 2014 07:27

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