Nonlinear estimation algorithms are required for obtaining estimates of the parameters of a regression model with innovations having an ARMA structure. The three estimation methods employed by the ...
Maximum likelihood estimation of the parameters of a statistical model involves maximizing the likelihood or, equivalently, the log likelihood with respect to the parameters. The parameter values at ...
The work revisits the autocovariance function estimation, a fundamental problem in statistical inference for time series. We convert the function estimation problem into constrained penalized ...
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