This paper present a simulation study of an evolutionary algorithms, Particle Swarm Optimization PSO algorithm to optimize likelihood function of ARMA（1, 1） model, where maximizing likelihood function is equivalent ...This paper present a simulation study of an evolutionary algorithms, Particle Swarm Optimization PSO algorithm to optimize likelihood function of ARMA（1, 1） model, where maximizing likelihood function is equivalent to maximizing its logarithm, so the objective function ＇obj.fun＇ is maximizing log-likelihood function. Monte Carlo method adapted for implementing and designing the experiments of this simulation. This study including a comparison among three versions of PSO algorithm “Constriction coefficient CCPSO, Inertia weight IWPSO, and Fully Informed FIPSO”, the experiments designed by setting different values of model parameters al, bs sample size n, moreover the parameters of PSO algorithms. MSE used as test statistic to measure the efficiency PSO to estimate model. The results show the ability of PSO to estimate ARMA＇ s parameters, and the minimum values of MSE getting for COPSO.展开更多
文摘This paper present a simulation study of an evolutionary algorithms, Particle Swarm Optimization PSO algorithm to optimize likelihood function of ARMA（1, 1） model, where maximizing likelihood function is equivalent to maximizing its logarithm, so the objective function ＇obj.fun＇ is maximizing log-likelihood function. Monte Carlo method adapted for implementing and designing the experiments of this simulation. This study including a comparison among three versions of PSO algorithm “Constriction coefficient CCPSO, Inertia weight IWPSO, and Fully Informed FIPSO”, the experiments designed by setting different values of model parameters al, bs sample size n, moreover the parameters of PSO algorithms. MSE used as test statistic to measure the efficiency PSO to estimate model. The results show the ability of PSO to estimate ARMA＇ s parameters, and the minimum values of MSE getting for COPSO.
