Estimating parameters of a multiple auto
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Γzlem TΓΌrker Bayrak; AyΕen D. Akkaya
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Article
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2010
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Elsevier Science
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English
β 586 KB
We consider a multiple autoregressive model with non-normal error distributions, the latter being more prevalent in practice than the usually assumed normal distribution. Since the maximum likelihood equations have convergence problems (Puthenpura and Sinha, 1986) [11], we work out modified maximum