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A Method of Estimating the Parameters of an Autoregressive Time-Series

✍ Scribed by S. G. Ghurye

Book ID
124278904
Publisher
Oxford University Press
Year
1950
Tongue
English
Weight
535 KB
Volume
37
Category
Article
ISSN
0006-3444

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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