Nonlinear estimation algorithms are required for obtaining estimates of the parameters of a regression model with innovations having an ARMA structure. The three estimation methods employed by the ...

Maximum likelihood estimation of the parameters of a statistical model involves maximizing the likelihood or, equivalently, the log likelihood with respect to the parameters. The parameter values at ...

We consider the problem of estimating the Hurst parameter for longrange dependent processes using wavelets. Wavelet techniques have been shown to effectively exploit the asymptotic linear relationship ...

A large class of flows and stocks series related to production, shipments, sales and inventories are affected by trading-day or calendar variations. Trading-day variations represent the 'within-month ...