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Published 20 hours ago • verified publisher icon SMAC-Group

Simulation ARMA models

Open stephaneguerrier opened this issue 9 years ago • 5 comments

Simulate ARMA(2,2) and compare:

  1. MLE
  2. GMWM exact
  3. GMWM guess
  4. Robust GMWM guess
  5. Robust GMWM exact

Produce boxplots.

Replicate results for:

  1. ARMA(2,2) with 1% contaminated observations
  2. ARMA(2,1) no contamination
  3. ARMA(2,1) with 1% contaminated observations
  4. ARMA(3,3) no contamination
  5. ARMA(3,3) with 1% contaminated observations

stephaneguerrier avatar May 29 '15 23:05 stephaneguerrier