Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study.
This article evaluates the performance of two estimators namely, the Maximum Likelihood Estimator (MLE) and Whittle's Estimator (WE), through a simulation study for the Generalised Autoregressive (GAR) model. As expected, it is found that for the parameters and σ2, the MLE and WE have a be...
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Taylor & Francis
2008
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