Comparison between the least squares, maximum likelihood and bayes estimation of simple arma models

1981 ◽  
Vol 12 (3-4) ◽  
pp. 225-235
Author(s):  
Harri Hietikko
Keyword(s):  
Maximum Likelihood ◽  
Least Squares ◽  
Bayes Estimation ◽  
Arma Models

Identification of Structural Parameters in Mistuned Bladed Disks

1997 ◽  
Vol 119 (3) ◽  
pp. 428-438 ◽  
Author(s):  
Marc P. Mignolet ◽  
Chung-Chih Lin
Keyword(s):  
Maximum Likelihood ◽  
Least Squares ◽  
Structural Model ◽  
Structural Parameters ◽  
Model Parameters ◽  
Disk Model ◽  
Response Data ◽  
State Response ◽  
Bladed Disk ◽  
True Model

The present investigation focused on the estimation of the parameters of a structural model to represent “at best” a set of measurements of the steady state response of a mistuned bladed disk. The applicability of the least squares and maximum likelihood approaches to the identification of the bladed disk model from this data is first investigated. The advantages and drawbacks of these techniques motivate the introduction of a new mixed least squares-maximum likelihood formulation which is shown to recover well the true model parameters from noisy simulated response data.

WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS

2009 ◽  
Vol 12 (03) ◽  
pp. 297-317 ◽  
Author(s):  
ANOUAR BEN MABROUK ◽  
HEDI KORTAS ◽  
SAMIR BEN AMMOU
Keyword(s):  
Maximum Likelihood ◽  
Least Squares ◽  
Stock Returns ◽  
Long Memory ◽  
Weighted Least Squares ◽  
Ordinary Least Squares ◽  
Estimation Accuracy ◽  
Approximate Maximum Likelihood ◽  
Approximate Maximum Likelihood Estimator ◽  
Wavelet Estimators

In this paper, fractional integrating dynamics in the return and the volatility series of stock market indices are investigated. The investigation is conducted using wavelet ordinary least squares, wavelet weighted least squares and the approximate Maximum Likelihood estimator. It is shown that the long memory property in stock returns is approximately associated with emerging markets rather than developed ones while strong evidence of long range dependence is found for all volatility series. The relevance of the wavelet-based estimators, especially, the approximate Maximum Likelihood and the weighted least squares techniques is proved in terms of stability and estimation accuracy.

scholarly journals On the equivalence between total least squares and maximum likelihood PCA

2005 ◽  
Vol 544 (1-2) ◽  
pp. 254-267 ◽  
Author(s):  
M. Schuermans ◽  
I. Markovsky ◽  
Peter D. Wentzell ◽  
S. Van Huffel
Keyword(s):  
Maximum Likelihood ◽  
Least Squares ◽  
Total Least Squares
Sign in / Sign up

Export Citation Format

Share Document