A Bayesian Analysis of Spectral ARMA Model

Table 1

Estimation classic AR and MA parameters (standard deviation).

𝑁=256	Parameter AR				Parameter MA
Method	−0.520	1.018	−0.255	0.240	−0.337	0.810
MYWE	−0.8394	0.8236	−0.2752	0.2145	−0.2712	0.6068
	(2.1903)	(1.8329)	(0.2346)	(0.2539)	(0.4057)	(0.3770)
LSYW	−0.4057	0.7724	−0.2002	0.2252	−0.3132	0.6867
	(0.2012)	(0.2699)	(0.1018)	(0.0809)	(0.3061)	(0.2234)
LSYWS	−0.5952	1.0085	−0.3210	0.2405	−0.3888	0.8040
	(0.4266)	(0.3257)	(0.2659)	(0.1406)	(0.3061)	(0.1698)
MLE	−0.3760	0.7283	−0.1764	0.2167	−0.1954	0.5418
	(0.4133)	(0.4455)	(0.1545)	(0.1163)	(0.4117)	(0.4204)