Jacques Sabiti Kiseta, Emilie Epeka Mbambe, Angèle Yule Sotazo, Roger Akumoso Liendi
{"title":"A New Iterative Algorithm for Estimating Parameters and Orders of Multiple-Input Single-Output Time Series Models","authors":"Jacques Sabiti Kiseta, Emilie Epeka Mbambe, Angèle Yule Sotazo, Roger Akumoso Liendi","doi":"10.47285/isr.v2i2.104","DOIUrl":null,"url":null,"abstract":"In this paper, we propose a new iterative algorithm for estimating the parameters and orders of a multiple-input single-output (MISO) time series model. This algorithm is based on a method suggested by Hannan and Rissanen (1982) for estimating an ARMA model. The key is the use of pseudo-linear regression techniques to derive the iterative nonlinear least-squares estimators by using the Gauss-Newton algorithm. Simulation results are presented to compare the new algorithm with the exact maximum likelihood method (EML) and the generalized least squares (GLS) method proposed by Sabiti (1997).","PeriodicalId":81558,"journal":{"name":"International science review series","volume":"16 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International science review series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.47285/isr.v2i2.104","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
In this paper, we propose a new iterative algorithm for estimating the parameters and orders of a multiple-input single-output (MISO) time series model. This algorithm is based on a method suggested by Hannan and Rissanen (1982) for estimating an ARMA model. The key is the use of pseudo-linear regression techniques to derive the iterative nonlinear least-squares estimators by using the Gauss-Newton algorithm. Simulation results are presented to compare the new algorithm with the exact maximum likelihood method (EML) and the generalized least squares (GLS) method proposed by Sabiti (1997).