Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study.

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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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Bibliographic Details
Main Authors:	Shitan, Mahendran, Peiris, Shelton
Format:	Article
Published:	Taylor & Francis 2008
Online Access:	http://psasir.upm.edu.my/id/eprint/7027/

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