PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS

DOI10.1111/j.1467-9892.1995.tb00226.xzbMath0814.62050OpenAlexW1986292882MaRDI QIDQ4328375

Graham C. Goodwin, G. J. Adams

Publication date: 18 June 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00226.x

zbMATH Keywords

consistent estimatessimulationsautomatic controlautoregressive moving-averageperiodic ARMA modelson-line parameter estimationPARMA modelpseudo-linear regressions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Filtering in stochastic control theory (93E11)

Related Items (20)

Innovations algorithm for periodically stationary time series ⋮ Estimating ARMA models with recurrent regime changes ⋮ The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance ⋮ Periodic moving averages of random variables with regularly varying tails ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ Predictive Density Order Selection of Periodic AR Models ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ Innovations algorithm asymptotics for periodically stationary time series with heavy tails ⋮ On AR(1) models with periodic and almost periodic coefficients. ⋮ Causality conditions and autocovariance calculations in PVAR models ⋮ Model-building problem of periodically correlated \(m\)-variate moving average processes ⋮ Calculating the autocovariances and the likelihood for periodic V ARMA models ⋮ Asymptotic results for Fourier-PARMA time series ⋮ A prediction‐residual approach for identifying rare events in periodic time series ⋮ Parsimonious time series modeling for high frequency climate data ⋮ An On-Line Estimation Algorithm for Periodic Autoregressive Models ⋮ Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model ⋮ Bootstrapping Periodic State-Space Models ⋮ Explosive strong periodic autoregression with multiplicity one ⋮ On periodic EGARCH models

Cites Work

• Unnamed Item
• Dissipative dynamical systems: basic input-output and state properties
• Linear periodic control: A frequency domain viewpoint
• Spectral factorization of linear periodic systems with application to the optimal prediction of periodic ARMA models
• The convergence of AML
• Characterization of cyclostationary random signal processes
• On positive real transfer functions and the convergence of some recursive schemes

This page was built for publication: PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS