ESTIMATION OF AUTOREGRESSIVE PARAMETERS AND ORDER SELECTION FOR ARMA MODELS

DOI10.1111/J.1467-9892.1988.TB00470.XMaRDI QIDQ3821442zbMATH OpenOpenAlexFDO

Authors Pham Dinh Tuan

Publication date 1988

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1988.tb00470.x

zbMATH Keywords

asymptotic normalityautoregressive moving-average modelConsistencyestimates of autoregressive parametersimpulse response coefficientsLevinson-Durbin algorithmorder selectionquick algorithmrecursive algorithm

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Levinson-Durbin recursion for autoregressive-moving average processes
• A method for autoregressive-moving average estimation
• Consistent autoregressive spectral estimates
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• scientific article; zbMATH DE number 3131354 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• Recursive estimation of mixed autoregressive-moving average order

Cited in

(22)

• Asymptotically efficient selection of the order by the criterion autoregressive transfer function
• A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model
• Efficient on-line estimation of autoregressive parameters
• A new auto-regressive order selection algorithm
• Sparse structure based iterative algorithm for AR model identification
• THE ESTIMATION OF PARAMETERS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS
• Order Reductions of the Marginals and Identification of Multiple ARMA Models
• scientific article; zbMATH DE number 4151669 (Why is no real title available?)
• Efficient Monte Carlo method to obtain parameters of autoregressive in time series
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• scientific article; zbMATH DE number 3938370 (Why is no real title available?)
• scientific article; zbMATH DE number 4009603 (Why is no real title available?)
• scientific article; zbMATH DE number 4032863 (Why is no real title available?)
• Consistent Recursive Estimation of the Order of an Autoregressive Moving Average Process
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• scientific article; zbMATH DE number 700608 (Why is no real title available?)
• scientific article; zbMATH DE number 1918631 (Why is no real title available?)
• Estimating the Order of an Autoregressive Model Using Normalized Maximum Likelihood
• scientific article; zbMATH DE number 195188 (Why is no real title available?)
• RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Incorporating lag order selection uncertainty in parameter inference for AR models

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