EstimatingtheparametersofanARIMAModel.docVIP

Estimating the parameters of an ARIMA Model The model ARIMA(p,d,q)(P,D,Q)s has the form: where the parameters have all to be estimated ( is the standard deviation of the errors ). This is usually done by the least squares method or by the maximum likelihood method. The US Census Bureau provides an application program, X-12-ARIMA (which we will refer to as X12A for short), that carries out the estimation using MLE. (In fact the application does considerably more; full details are provided in the general guide FINALPT1.pdf) The application and accompanying information is downloadabl