Parameter estimation for pure diagonal bilinear time series: An algorithm for maximum likelihood procedure

by Bouzaachane Khadija, Harti Mostafa, Benghabrit Youssef .

Abstract: In this work, a new estimate algorithm for the parameters of a pure diagonal bilinear model is proposed. This algorithm turns out to be very reliable in estimating the true parameters's values of a given model. It combines maximum likelihood method, Kalman filter algorithm and simulated annealing. Simulation results demonstrate that the algorithm is succeeds and promising.

Key Words: ime Series, Pure Diagonal Bilinear Model, Maximum LikeLihood, Kalman Filter, Simulated Annealing

Authors:
Bouzaachane Khadija, bouzaachane@netcourrier.com
Harti Mostafa, mharti@fsdmfes.ac.ma
Benghabrit Youssef, you_benghabrit@yahoo.fr

Editor: geel, Mohammed, MIAQEEL@kku.edu.sa

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