On the convergence of Young's instrumental variable and approximate maximum likelihood algorithms
作者:
GRAHAM FREEMAN,
期刊:
International Journal of Control
(Taylor Available online 1984)
卷期:
Volume 39,
issue 5
页码: 923-928
ISSN:0020-7179
年代: 1984
DOI:10.1080/00207178408933221
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The original descriptions of the approximate maximum likelihood (AML) method have left unclear an aspect of its application to the estimation of ARMA models. If the wrong interpretation is taken, poor convergence results. Also a ‘ heuristic ’ used in the instrumental variable (IV) and AML algorithms is critically examined and found sometimes to be harmful.
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