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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| Format: | Article |
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Taylor & Francis
2008
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| _version_ | 1796967240825831424 |
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| author | Shitan, Mahendran Peiris, Shelton |
| author_facet | Shitan, Mahendran Peiris, Shelton |
| author_sort | Shitan, Mahendran |
| collection | UPM |
| description | 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 better performance than Method of Moments (MOM) estimator. For the parameter δ, MOM sometimes appears to have a slightly better performance than MLE and WE, possibly due to truncation approximations associated with the hypergeometric functions for calculating the autocorrelation function. However, the MLE and WE can be used in practice without loss of efficiency. |
| first_indexed | 2024-03-06T07:11:01Z |
| format | Article |
| id | upm.eprints-7027 |
| institution | Universiti Putra Malaysia |
| last_indexed | 2024-03-06T07:11:01Z |
| publishDate | 2008 |
| publisher | Taylor & Francis |
| record_format | dspace |
| spelling | upm.eprints-70272014-10-29T07:27:45Z http://psasir.upm.edu.my/id/eprint/7027/ Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study. Shitan, Mahendran Peiris, Shelton 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 better performance than Method of Moments (MOM) estimator. For the parameter δ, MOM sometimes appears to have a slightly better performance than MLE and WE, possibly due to truncation approximations associated with the hypergeometric functions for calculating the autocorrelation function. However, the MLE and WE can be used in practice without loss of efficiency. Taylor & Francis 2008 Article PeerReviewed Shitan, Mahendran and Peiris, Shelton (2008) Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study. Communications in Statistics: Simulation and Computation, 37 (3). pp. 560-570. ISSN 0361-0918; ESSN: 1532-4141 10.1080/03610910701649598 |
| spellingShingle | Shitan, Mahendran Peiris, Shelton Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study. |
| title | Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study. |
| title_full | Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study. |
| title_fullStr | Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study. |
| title_full_unstemmed | Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study. |
| title_short | Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study. |
| title_sort | generalized autoregressive gar model a comparison of maximum likelihood and whittle estimation procedures using a simulation study |
| work_keys_str_mv | AT shitanmahendran generalizedautoregressivegarmodelacomparisonofmaximumlikelihoodandwhittleestimationproceduresusingasimulationstudy AT peirisshelton generalizedautoregressivegarmodelacomparisonofmaximumlikelihoodandwhittleestimationproceduresusingasimulationstudy |