Iterative versus noniterative derivation of moving average parameters of ARMA processes (Q1094063)
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scientific article; zbMATH DE number 4024575
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| English | Iterative versus noniterative derivation of moving average parameters of ARMA processes |
scientific article; zbMATH DE number 4024575 |
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Iterative versus noniterative derivation of moving average parameters of ARMA processes (English)
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1988
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A noniterative approach to deriving the moving average coefficients of a mixed ARMA process is suggested and compared to iterative methods. Results of a Monte Carlo study indicate that the noniterative method compares favorably to the commonly used iterative procedures.
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noniterative approach
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moving average coefficients
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mixed ARMA process
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iterative methods
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Monte Carlo study
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0.8114111423492432
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0.7751615047454834
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0.7695547342300415
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0.7669553160667419
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