A fast estimation method for ARMA processes (Q1911256)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast estimation method for ARMA processes |
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A fast estimation method for ARMA processes (English)
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12 November 1996
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A computationally effective two-stage least squares procedure for parameter estimation of Gaussian ARMA processes is presented and discussed. The asymptotic properties of the estimates are analyzed and their equivalence to the exact maximum likelihood method is shown. A comparative simulation study is included.
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two-stage least squares procedure
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Gaussian ARMA processes
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