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In case of ARIMA model for time series prediction, by which process does the method learn that what weight is to given to which past lag?

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  • $\begingroup$ Maximum likelihood method uses optimization to estimate the model parameters. What algorithms are used for the optimization? Look for algorithms that work on Kalman filters (EM algorithm is possible but not popular, AFAIK). $\endgroup$ Feb 7, 2017 at 20:22
  • $\begingroup$ what are Yule walker equations? can they be used for esimation of weights $\endgroup$ Feb 7, 2017 at 20:23
  • $\begingroup$ Why don't you look that up in a time series textbook, an econometrics textbook, or some lecture note? The questions you ask are by no means unique, they have been discussed widely before. $\endgroup$ Feb 7, 2017 at 20:29

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