ARIMA Model Coefficient Estimation

ARIMA models are non-linear. Coefficients for such models can be estimated by the following methods:

• Methods based on maximization of maximum likelihood function.

• Methods based on minimization of sum of squared residuals:

1. • Quasi-Newton Method.

   • Levenberg-Marquardt Method.

NOTE. These methods can also be used to estimate non-linear regression coefficients.

See also:

Library of Methods and Models | ARIMA