A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model (Q1104907)
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scientific article; zbMATH DE number 4057421
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| English | A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model |
scientific article; zbMATH DE number 4057421 |
Statements
A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model (English)
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1988
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This paper proposes a high-order Yule-Walker method for estimating the parameters of the autoregressive part of general ARMA processes. The performance of the technique is illustrated by some numerical examples.
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parameter estimation
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high-order Yule-Walker method
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ARMA processes
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0.8639593720436096
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0.8177542686462402
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0.8030027747154236
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