Estimate AR(3) by Using Levinson-Durbin Recurrence & Weighted Least Squares Error Methods

In this study, we investigate about the estimation improvement for Autoregressive model of the third order, by using Levinson-Durbin Recurrence (LDR) and Weighted Least Squares Error ( WLSE ).By generating time series from AR(3) model when the error term for AR(3) is normally and Non normally distr...

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Bibliographic Details

Published in:	Ibn Al-Haitham Journal for Pure and Applied Sciences
Main Author:	Jinan Abbas Naser
Format:	Article
Language:	English
Published:	University of Baghdad 2017-04-01
Subjects:	Autoregressive models, Levinson-Durbin Recurrence method, Weighted Least Squares Error method.
Online Access:	https://jih.uobaghdad.edu.iq/index.php/j/article/view/447