ON THE ESTIMATION OF NON-STATIONARY FUNCTIONAL SERIES TARMA MODELS (WedAmOR1)

Author(s) : Aggelos Poulimenos (University of Patras, Greece) Spilios D. Fassois (University of Patras, Greece)

Abstract : Maximum Likelihood (ML) and Multi-Stage Weighted Linear / Non-Linear Least Squares (MS-WLLS / MS-WNLS) estimation methods are formulated for non-stationary Functional Series Time-dependent ARMA (FS-TARMA) models. The methods' effectiveness, as well as their superiority over Ordinary Linear / Non-Linear Least Squares (OLLS / ONLS) type methods not accounting for innovations serial heteroscedasticity, are demonstrated via Monte Carlo experiments.

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