Title :
On the estimation of non-stationary functional series tarma models
Author :
Poulimenos, Aggelos G. ; Fassois, Spilios D.
Author_Institution :
Dept. of Mech. & Aeronaut. Eng., Univ. of Patras, Patras, Greece
Abstract :
Maximum Likelihood (ML) and Multi-Stage Weighted Linear / Non-Linear Least Squares (MS-WLLS / MS-WNLS) estimation methods are formulated for non-stationary Functional Series Time-dependent ARMA (FS-TARMA) models. The methods´ effectiveness, as well as their superiority over Ordinary Linear / Non-Linear Least Squares (OLLS / ONLS) type methods not accounting for innovations serial heteroscedasticity, are demonstrated via Monte Carlo experiments.
Keywords :
autoregressive moving average processes; least squares approximations; maximum likelihood estimation; signal processing; MS-WLLS-MS-WNLS; Monte Carlo experiments; OLLS-ONLS type methods; innovation serial heteroscedasticity; maximum likelihood estimation methods; multistage weighted linear estimation methods; nonlinear least square estimation methods; nonstationary functional series TARMA model estimation; ordinary linear-nonlinear least squares type methods; time-dependent ARMA models; Autoregressive processes; Least squares approximations; Maximum likelihood estimation; Standards; Technological innovation; Vectors;
Conference_Titel :
Signal Processing Conference, 2005 13th European
Conference_Location :
Antalya
Print_ISBN :
978-160-4238-21-1
