Daniel CIUIU

MONTE CARLO AND NUMERICAL METHODS TO SOLVE THE TIME SERIES MODEL

Introduction

Monte carlo and numerical methods to solve the time series model. Explore Monte Carlo and numerical methods to solve nonlinear time series models. Focuses on identifying variance and inter-covariances using the autocorrelation function.

Abstract

 In this paper we will solve the nonlinear system of equations in the parameters of the time series model by Monte Carlo methods and by numerical methods. When we identify the variance and the inter-covariances of time series, we obtain, dividing by variance, a quadratic nonlinear system of equation that does not contain the variance of wihite noise. We use only the autocorrelation function. AMS Subject Classification: 62M10, 91B84, 65C05.

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