Keywords: autoregressive moving average, maximum likelihood estimate, non-causal, non-invertible, non-Gaussian, stationary, white noise, genetic algorithm, simulated annealing.
Reference: Mark Lehr and Keh-Shin Lii, "Maximum Likelihood Estimates of Non-Gaussian ARMA Models," working paper, 1998. [Postscript] or [PDF]
Description: We consider an approximate maximum likelihood algorithm for estimating parameters of possibly non-causal and non-invertible autoregressive moving average processes driven by independent identically distributed non-Gaussian noise. The normalized approximate maximum likehoood estimate has a global maximum which is consistent and efficient. The estimates and their associated asymptotic covariance matrix are calculated with a subroutine implemented in Fortran 77.
Platforms: Any machine having a Fortran 77 compiler.
Support: Limited. Please contact the authors with questions or suggestions at mlehr@pacbell.net.
Documentation: The source code is annotated, and there are "readme" files in each subdirectory.
Archive file: nsf98aa.zip
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drwxr-xr-x 2 nsf98aa nsf98 512 Jul 10 16:47 Library drwxr-xr-x 2 nsf98aa nsf98 512 Jul 10 16:59 PostScript -rw-r--r-- 1 nsf98aa nsf98 1257 Jul 10 16:46 Read.Me drwxr-xr-x 2 nsf98aa nsf98 512 Jul 12 10:58 Test1a drwxr-xr-x 2 nsf98aa nsf98 512 Jul 12 10:58 Test1b drwxr-xr-x 2 nsf98aa nsf98 512 Jul 12 10:58 Test1c drwxr-xr-x 2 nsf98aa nsf98 512 Jul 12 10:59 Test2a drwxr-xr-x 2 nsf98aa nsf98 512 Jul 12 10:59 Test2b drwxr-xr-x 2 nsf98aa nsf98 512 Jul 12 10:59 Test2c drwxr-xr-x 2 nsf98aa nsf98 512 Jul 12 10:59 Test3a drwxr-xr-x 2 nsf98aa nsf98 512 Jul 15 21:08 Test3c Library: -rw-r--r-- 1 nsf98aa nsf98 22756 Jul 10 16:46 covar.f -rw-r--r-- 1 nsf98aa nsf98 28489 Jul 10 16:46 popfnc.f -rw-r--r-- 1 nsf98aa nsf98 120640 Jul 10 16:47 public.f -rw-r--r-- 1 nsf98aa nsf98 42695 Jul 10 16:47 search.f Postscript: -rw-r--r-- 1 nsf98aa nsf98 867244 Jul 10 17:01 publish.ps Test1a: -rw-r--r-- 1 nsf98aa nsf98 22756 Jul 10 16:33 COVAR.for -rw-r--r-- 1 nsf98aa nsf98 642 Jul 17 18:28 MLE.X11A -rw-r--r-- 1 nsf98aa nsf98 28489 Jul 10 16:33 POPFNC.for -rw-r--r-- 1 nsf98aa nsf98 120640 Jul 10 16:34 PUBLIC.for -rw-r--r-- 1 nsf98aa nsf98 1588 Jul 10 16:34 Read.Me -rw-r--r-- 1 nsf98aa nsf98 42695 Jul 10 16:34 SEARCH.for -rw-r--r-- 1 nsf98aa nsf98 11316 Jul 10 16:34 X11.DAT -rw-r--r-- 1 nsf98aa nsf98 10416 Jul 17 18:28 Z.X11A -rw-r--r-- 1 nsf98aa nsf98 690 Jul 10 16:34 dnsity1.for -rw-r--r-- 1 nsf98aa nsf98 7918 Jul 10 16:34 driver1a.for -rwxr-xr-x 1 nsf98aa nsf98 217072 Jul 10 16:38 x11a.out Test1b: -rw-r--r-- 1 nsf98aa nsf98 22756 Jul 10 16:47 COVAR.for -rw-r--r-- 1 nsf98aa nsf98 642 Jul 12 12:32 MLE.X11B -rw-r--r-- 1 nsf98aa nsf98 28489 Jul 10 16:47 POPFNC.for -rw-r--r-- 1 nsf98aa nsf98 120640 Jul 10 16:48 PUBLIC.for -rw-r--r-- 1 nsf98aa nsf98 1611 Jul 10 16:48 Read.Me -rw-r--r-- 1 nsf98aa nsf98 42695 Jul 10 16:48 SEARCH.for -rw-r--r-- 1 nsf98aa nsf98 11316 Jul 10 16:48 X11.DAT -rw-r--r-- 1 nsf98aa nsf98 10416 Jul 12 12:32 Z.X11B -rw-r--r-- 1 nsf98aa nsf98 690 Jul 10 16:49 dnsity1.for -rw-r--r-- 1 nsf98aa nsf98 7897 Jul 10 16:49 driver1b.for -rwxr-xr-x 1 nsf98aa nsf98 217064 Jul 10 21:55 x11b.out Test1c: -rw-r--r-- 1 nsf98aa nsf98 22756 Jul 10 16:49 COVAR.for -rw-r--r-- 1 nsf98aa nsf98 677 Jul 12 21:43 MLE.X11C -rw-r--r-- 1 nsf98aa nsf98 28489 Jul 10 16:49 POPFNC.for -rw-r--r-- 1 nsf98aa nsf98 120640 Jul 10 16:50 PUBLIC.for -rw-r--r-- 1 nsf98aa nsf98 1627 Jul 10 16:50 Read.Me -rw-r--r-- 1 nsf98aa nsf98 42695 Jul 10 16:50 SEARCH.for -rw-r--r-- 1 nsf98aa nsf98 11316 Jul 10 16:50 X11.DAT -rw-r--r-- 1 nsf98aa nsf98 10416 Jul 12 21:43 Z.X11C -rw-r--r-- 1 nsf98aa nsf98 690 Jul 10 16:50 dnsity1.for -rw-r--r-- 1 nsf98aa nsf98 7897 Jul 10 16:50 driver1c.for -rwxr-xr-x 1 nsf98aa nsf98 217064 Jul 10 21:56 x11c.out Test2a: -rw-r--r-- 1 nsf98aa nsf98 22756 Jul 10 16:52 COVAR.for -rw-r--r-- 1 nsf98aa nsf98 966 Jul 17 18:29 MLE.X212A -rw-r--r-- 1 nsf98aa nsf98 28489 Jul 10 16:53 POPFNC.for -rw-r--r-- 1 nsf98aa nsf98 120640 Jul 10 16:53 PUBLIC.for -rw-r--r-- 1 nsf98aa nsf98 1601 Jul 10 16:53 Read.Me -rw-r--r-- 1 nsf98aa nsf98 42695 Jul 10 16:53 SEARCH.for -rw-r--r-- 1 nsf98aa nsf98 6246 Jul 10 16:53 X212.DAT -rw-r--r-- 1 nsf98aa nsf98 4354 Jul 17 18:29 Z.X212A -rw-r--r-- 1 nsf98aa nsf98 684 Jul 10 16:53 dnsity2.for -rw-r--r-- 1 nsf98aa nsf98 8013 Jul 10 16:53 driver2a.for -rwxr-xr-x 1 nsf98aa nsf98 217240 Jul 10 21:58 x212a.out Test2b: -rw-r--r-- 1 nsf98aa nsf98 22756 Jul 10 16:54 COVAR.for -rw-r--r-- 1 nsf98aa nsf98 966 Jul 12 12:30 MLE.X212B -rw-r--r-- 1 nsf98aa nsf98 28489 Jul 10 16:54 POPFNC.for -rw-r--r-- 1 nsf98aa nsf98 120640 Jul 10 16:54 PUBLIC.for -rw-r--r-- 1 nsf98aa nsf98 1612 Jul 10 16:54 Read.Me -rw-r--r-- 1 nsf98aa nsf98 42695 Jul 10 16:54 SEARCH.for -rw-r--r-- 1 nsf98aa nsf98 6246 Jul 10 16:54 X212.DAT -rw-r--r-- 1 nsf98aa nsf98 4354 Jul 12 12:30 Z.X212B -rw-r--r-- 1 nsf98aa nsf98 684 Jul 10 16:54 dnsity2.for -rw-r--r-- 1 nsf98aa nsf98 8004 Jul 10 16:55 driver2b.for -rwxr-xr-x 1 nsf98aa nsf98 217232 Jul 11 20:52 x212b.out Test2c: -rw-r--r-- 1 nsf98aa nsf98 22756 Jul 10 16:54 COVAR.for -rw-r--r-- 1 nsf98aa nsf98 966 Jul 12 12:30 MLE.X212B -rw-r--r-- 1 nsf98aa nsf98 28489 Jul 10 16:54 POPFNC.for -rw-r--r-- 1 nsf98aa nsf98 120640 Jul 10 16:54 PUBLIC.for -rw-r--r-- 1 nsf98aa nsf98 1612 Jul 10 16:54 Read.Me -rw-r--r-- 1 nsf98aa nsf98 42695 Jul 10 16:54 SEARCH.for -rw-r--r-- 1 nsf98aa nsf98 6246 Jul 10 16:54 X212.DAT -rw-r--r-- 1 nsf98aa nsf98 4354 Jul 12 12:30 Z.X212B -rw-r--r-- 1 nsf98aa nsf98 684 Jul 10 16:54 dnsity2.for -rw-r--r-- 1 nsf98aa nsf98 8004 Jul 10 16:55 driver2b.for -rwxr-xr-x 1 nsf98aa nsf98 217232 Jul 11 20:52 x212b.out Test3a: -rw-r--r-- 1 nsf98aa nsf98 22756 Jul 10 16:56 COVAR.for -rw-r--r-- 1 nsf98aa nsf98 1158 Jul 17 18:30 MLE.X23A -rw-r--r-- 1 nsf98aa nsf98 28489 Jul 10 16:56 POPFNC.for -rw-r--r-- 1 nsf98aa nsf98 120640 Jul 10 16:57 PUBLIC.for -rw-r--r-- 1 nsf98aa nsf98 2484 Jul 10 16:57 Read.Me -rw-r--r-- 1 nsf98aa nsf98 42695 Jul 10 16:57 SEARCH.for -rw-r--r-- 1 nsf98aa nsf98 28144 Jul 10 16:57 X23.DAT -rw-r--r-- 1 nsf98aa nsf98 26768 Jul 17 18:30 Z.X23A -rw-r--r-- 1 nsf98aa nsf98 815 Jul 10 16:57 dnsity3.for -rw-r--r-- 1 nsf98aa nsf98 8060 Jul 10 16:57 driver3a.for -rwxr-xr-x 1 nsf98aa nsf98 217492 Jul 11 20:57 x23a.out Test3c: -rw-r--r-- 1 nsf98aa nsf98 22756 Jul 10 16:58 COVAR.for -rw-r--r-- 1 nsf98aa nsf98 1193 Jul 16 03:05 MLE.X23C -rw-r--r-- 1 nsf98aa nsf98 28489 Jul 10 16:58 POPFNC.for -rw-r--r-- 1 nsf98aa nsf98 120640 Jul 10 16:58 PUBLIC.for -rw-r--r-- 1 nsf98aa nsf98 2596 Jul 10 16:58 Read.Me -rw-r--r-- 1 nsf98aa nsf98 42695 Jul 10 16:58 SEARCH.for -rw-r--r-- 1 nsf98aa nsf98 28144 Jul 10 16:58 X23.DAT -rw-r--r-- 1 nsf98aa nsf98 26768 Jul 16 03:05 Z.X23C -rw-r--r-- 1 nsf98aa nsf98 815 Jul 10 16:59 dnsity3.for -rw-r--r-- 1 nsf98aa nsf98 8042 Jul 10 16:59 driver3c.for -rwxr-xr-x 1 nsf98aa nsf98 217468 Jul 11 20:58 x23c.out
The Fortran programs in this collection were compiled on a Sun Ultrasparc running Solaris 2.5.1. The compilations were error-free.
Archived by Grace Katagiri, 22 July 1998.