An iterative scheme for estimating the parameters for an autoregressive process

Abstract

In this paper, an iterative search method for estimating the parameters of an autoregressive process of order p, AR(p) is considered. The iterative search method was achieved by employing the Gauss-Jacobi iterative search method for solving linear system of equations. The estimation procedure includes finding the lag coefficients and the maximum lag order p of the process using the order selection method of the Akaike information criterion (AIC). The iterative search method is computationally efficient and converges to the same parameter estimate using the least square method. It has the advantage of handling large system of equations which is difficult to handle when using the Least squares method. Some simulated data and one real life data are used to demonstrate this approach.

Global Jouranl of Mathematical Sciences Vol. 6 (1) 2007: pp. 39-45