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Optimization of MA parameters

The sum of squared residuals (1.11) is a nonlinear non-convex function of MA parameters $b$. Thus we have to consider the global optimization algorithms. Denote

$\displaystyle f(x)=\log S(a(x),x),$     (16)

where $x=b$ and $S(a,b)$ is from (1.11) at optimal parameter $a=a(b)$. Denote
$\displaystyle b^0 =x^0 =arg \min_x f(x).$     (17)



mockus 2008-06-21