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Journal of Emerging Trends in Engineering and Applied Sciences (JETEAS)

ISSN:2141-7016

Article Title: Asymptotic Efficiency of the Maximum Likelihood Estimates of Arma(P, Q) Nested On Another Arma Model
by Daniel Eni

Abstract:
We postulate a situation in which a process, is on the influence of another data generating process where processes independent of each other. may be generated as a result of an emergency policy to combat natural disaster or global / national economic downturn etc. We discuss the stationary conditions for this model and provide the maximum likelihood estimates for the parameters of the model under Gaussian assumptions. We also present discussion on the consistency and asymptotic normality of the estimates.
Keywords: maximum likelihood, ARMA, consistency, asymptotic normality.
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ISSN: 2141-7016

Editor in Chief.

Prof. Gui Yun Tian
Professor of Sensor Technologies
School of Electrical, Electronic and Computer Engineering
University of Newcastle
United Kingdom

 

 

Copyright © Journal of Emerging Trends in Engineering and Applied Sciences 2010