Shitan, Mahendran; Peiris, Shelton Generalized autoregressive (GAR) model: A comparison of maximum likelihood and Whittle estimation procedures using a simulation study. (English) Zbl 1159.62325 Commun. Stat., Simulation Comput. 37, No. 3, 560-570 (2008). Summary: This article evaluates the performance of two estimators namely, the maximum likelihood estimator (MLE) and Whittle’s estimator (WE) through a simulation study for the generalized autoregressive (GAR) model. As expected, it is found that for the parameters \(\alpha \) and \(\sigma ^{2}\), the MLE and WE have better performance than the method of moments (MOM) estimator. For the parameter \(\delta \), MOM sometimes appears to have a slightly better performance than MLE and WE, possibly due to truncation approximations associated with the hypergeometric functions for calculating the autocorrelation function. However, the MLE and WE can be used in practice without loss of efficiency. Cited in 1 ReviewCited in 7 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 65C60 Computational problems in statistics (MSC2010) 33C90 Applications of hypergeometric functions Keywords:method of moments estimates; simulations PDFBibTeX XMLCite \textit{M. Shitan} and \textit{S. Peiris}, Commun. Stat., Simulation Comput. 37, No. 3, 560--570 (2008; Zbl 1159.62325) Full Text: DOI References: [1] DOI: 10.1002/9780470316610 · doi:10.1002/9780470316610 [2] DOI: 10.1007/978-1-4419-0320-4 · Zbl 0709.62080 · doi:10.1007/978-1-4419-0320-4 [3] DOI: 10.1007/b97391 · Zbl 0994.62085 · doi:10.1007/b97391 [4] DOI: 10.1111/j.1467-9892.1994.tb00205.x · Zbl 0825.62685 · doi:10.1111/j.1467-9892.1994.tb00205.x [5] Peiris M. S., Statistical Methods 5 pp 156– (2003) [6] Peiris S., J. Appl. Statist. Sci. 13 pp 251– (2004) This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.