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

wsDurbin.R

Timings for fitting ARMA model 

wsTiming.R

Obtain the sample mean efficiency

wsMean.R