A comparison of estimation procedures for the parameters of the star model
作者:
Phillip E. Pfeifer,
Stuart. Jay Deutsch,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1980)
卷期:
Volume 9,
issue 3
页码: 255-270
ISSN:0361-0918
年代: 1980
DOI:10.1080/03610918008812153
出版商: Taylor & Francis Group
关键词: space-time autoregressive;maximum likelihood estimation;conditional maximum likelihood estimation
数据来源: Taylor
摘要:
A simulation experiment compares the accuracy and precision of three alternate estimation techniques for the parameters of the STARMA model. Maximum likelihood estimation, in most ways the "best" estimation procedure, involves a large amount of computational effort so that two approximate techniques, exact least squares and conditional maximum likelihood, are often proposed for series of moderate lengths. This simulation experiment compares the accuracy of these three estimation procedures for simulated series of various lengths, and discusses the appropriateness of the three procedures as a function of the length of the observed series.
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