Additional Documentation

FasterMLEJuly5.pdf - preprint of “Faster ARMA maximum likelihood estimation” by A.I. McLeod and Y. Zhang (2008), Computational Statistics & Data Analysis, 52-4, 2166-2176. DOI link: http://dx.doi.org/10.1016/j.csda.2007.07.020

The following scripts were used to generate tables reported in our paper Faster ARMA maximum likelihood estimation” by A.I. McLeod and Y. Zhang (2008):

Durbin MA(1) efficiency | wsDurbin.R
Timings for fitting ARMA model | wsTiming.R
Obtain the sample mean efficiency | wsMean.R