## Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study (1999)

Citations: | 6 - 0 self |

### BibTeX

@MISC{Hauser99maximumlikelihood,

author = {Michael A. Hauser},

title = {Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study},

year = {1999}

}

### OpenURL

### Abstract

We analyze by simulation the properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p; d; q). The estimators considered are the exact maximum likelihood for demeaned data, EML, the associated modified profile likelihood, MPL, and the Whittle estimator with, WLT, and without tapered data, WL. Length of the series is 100. The estimators are compared in terms of pile-up effect, mean square error, bias, and empirical confidence level. The tapered version of the Whittle likelihood turns out to be a reliable estimator for ARMA and ARFIMA models. Its small losses in performance in case of "well-behaved" models are compensated sufficiently in more "difficult" models. The modified profile likelihood is an alternative to the WLT but is computationally more demanding. It is either equivalent to the EML or more favorable than the EML. For fractionally integrated models, particularly, it dominate...