Additional Documentation
FasterMLEJuly5.pdf - preprint of “Faster ARMA maximum likelihood estimation” by A.I. McLeod and Y. Zhang (2008), Computational Statistics & Data Analysis, 52-4, 2166-2176. DOI link: http://dx.doi.org/10.1016/j.csda.2007.07.020
The following scripts were used to generate tables reported in our paper Faster ARMA maximum likelihood estimation” by A.I. McLeod and Y. Zhang (2008):
Durbin MA(1) efficiency |
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Timings for fitting ARMA model |
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Obtain the sample mean efficiency |