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

Bouzaachane Khadija,
Harti Mostafa,
Benghabrit Youssef,

Editor: geel, Mohammed,

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