A Monte Carlo Study
In order to illustrate the procedures introduced in chapters 3 and 4 a number of simulations were performed with first and second order univariate RCA models for several sets of data of different sizes. While the simulations performed have been by no means exhaustive, as we shall see the results do conform with the asymptotic theory developed in the last two chapters.
KeywordsMaximum Likelihood Estimate Central Limit Theorem Strong Consistency Fourth Moment Maximum Likelihood Estimation Procedure
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