Conditions for local convergence of maximum likelihood estimation for armax models

Abstract:

This paper analyzes the conditions for local convergence of Maximun Likelihood estimation for ARMAX models. We do this by examining the region in which the steepest descent direction leads to a reduction in the Euclidean norm of the parameter error. Inter-alia this gives new insights into the question of existence of local maxima of the likelihood function for various commonly used model structures.

Año de publicación:

2003

Keywords:

• Parameter estimation
• Maximum likelihood principle
• Convergence Analysis

Fuente:

scopus