A method for autoregressive-moving average estimation

DOI10.1093/BIOMET/71.2.273MaRDI QIDQ3675373zbMATH OpenOpenAlexFDO

Authors E. J. Hannan, Laimonis Kavalieris

Publication date 1984

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/71.2.273

zbMATH Keywords

autoregressive- moving averagelong autoregressionorder estimationrecursive calculationspeed of convergencetime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(27)

• Testing causality using efficiently parametrized vector ARMA models
• Consistent order estimation for linear stochastic feedback control systems (CARMA model)
• A method for adaptive estimation of ARMA processes
• A new preliminary estimator for MA(1) models
• Recursive method for ARMA model estimation. I
• Recursive method for ARMA model estimation. II
• Moving-average representation of autoregressive approximations
• New exact ML estimation and inference for a Gaussian \(MA(1)\) process
• Consistent order selection for ARFIMA processes
• Business cycle analysis and VARMA models
• Inference on transformed stationary time series
• A numerical method for factorizing the rational spectral density matrix
• A generalized least squares estimation method for VARMA models
• ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• Using instrumental variables for selecting the order of arma models
• Bootstrapping moving average models
• REGRESSION, AUTOREGRESSION MODELS
• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• ESTIMATION OF AUTOREGRESSIVE PARAMETERS AND ORDER SELECTION FOR ARMA MODELS
• A LINEAR ESTIMATION PROCEDURE FOR THE PARAMETERS OF AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• Identification of canonical models for vectors of time series: a subspace approach
• Bootstrapping ARMA time series models after model selection

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