Maximum likelihood estimation for the FAREX(l) model


Biljana Č. Popović, Miroslav M. Ristić




The estimation of the unknown parameters of the model FAREX(l) are given in this paper. As the likelihood function of the model is not differentiable, the maximum of this function is determined by means of modified Hooke--Jeeves' method. Three different modifications of the method are compared and the results are given in tables and figures.