ARMA MODELS REALIZATION AND IMPULSE RESPONSES

DOI10.1081/STM-100002275MaRDI QIDQ2746223zbMATH OpenFDO

Authors Glaysar Castro, Valérie Girardin

Publication date 2001

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/STM-100002275

zbMATH Keywords

auto-regressive moving average modelscovariancesimpulse responsemaximum entropyorder identificationspectral densitystationary discrete-time process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• ARMA processes have maximal entropy among time series with prescribed autocovariances and impulse responses
• Consistent Recursive Estimation of the Order of an Autoregressive Moving Average Process
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Moving average processes and maximum entropy
• Recursive estimation of mixed autoregressive-moving average order

Cited in

(10)

• ARMA identification
• Subspace angles between ARMA models
• scientific article; zbMATH DE number 3871165 (Why is no real title available?)
• On the maximal entropy property for ARMA processes and ARMA approximation
• Relative entropy and spectral constraints: some invariance properties of the ARMA class
• scientific article; zbMATH DE number 39123 (Why is no real title available?)
• scientific article; zbMATH DE number 1532436 (Why is no real title available?)
• A Convex Optimization Approach to ARMA(n,m) Model Design from Covariance and Cepstral Data
• scientific article; zbMATH DE number 916416 (Why is no real title available?)
• ARMA realization from the reflection coefficient sequence

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