MONTE CARLO AND NUMERICAL METHODS TO SOLVE THE TIME SERIES MODEL
DOI:
https://doi.org/10.62229/aubinf63/67-81Keywords:
Moving average time series, Monte Carlo, nonlinear system of equationsAbstract
In this paper we will solve the nonlinear system of equations in the parameters of the time series model by Monte Carlo methods and by numerical methods. When we identify the variance and the inter-covariances of time series, we obtain, dividing by variance, a quadratic nonlinear system of equation that does not contain the variance of wihite noise. We use only the autocorrelation function. AMS Subject Classification: 62M10, 91B84, 65C05.
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2024-06-06
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