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Maximum likelihood estimation of the autoregressive model by relaxation on the reflection coefficients

✍ Scribed by Tuan, P.D.


Book ID
117865347
Publisher
IEEE
Year
1988
Weight
554 KB
Volume
36
Category
Article
ISSN
0096-3518

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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