Estimating Parameters of Non-Gaussian Mixed Model ARMA(1,1) by using a Non-Linear Newton Raphson Procedure –Simulation Study-

Abstract

To estimate non-linear parameters of mixed model ARMA(1,1) in moving average, the researchers have applied a non-linear Newton-Raphson procedure to estimate these parameters of this model, and to test its efficiency, to compare it with non-linear least Square method by simulation.
As a main conclusion, the researchers have found that this applied procedure is good, efficient and reliable as a method for estimating parameter of the non-linear mixed model ARMA(1,1)