PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
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- scientific article; zbMATH DE number 1240746
Cites work
- Characterization of cyclostationary random signal processes
- Dissipative dynamical systems: basic input-output and state properties
- scientific article; zbMATH DE number 4066707 (Why is no real title available?)
- Linear periodic control: A frequency domain viewpoint
- On positive real transfer functions and the convergence of some recursive schemes
- Spectral factorization of linear periodic systems with application to the optimal prediction of periodic ARMA models
- The convergence of AML
Cited in
(36)- Model-building problem of periodically correlated m-variate moving average processes
- Using ARMA models to forecast workpiece roundness error in a turning operation
- On the singular value decomposition, applied in the analysis and prediction of almost periodic signals
- Periodic moving averages of random variables with regularly varying tails
- Innovations algorithm for periodically stationary time series
- Estimation and identification of periodic autoregressive models with one exogenous variable
- On AR(1) models with periodic and almost periodic coefficients.
- Estimating ARMA models with recurrent regime changes
- Explosive strong periodic autoregression with multiplicity one
- Innovations algorithm asymptotics for periodically stationary time series with heavy tails
- Recursive prediction and likelihood evaluation for periodic ARMA models
- Large sample properties of parameter estimates for periodic ARMA models
- An On-Line Estimation Algorithm for Periodic Autoregressive Models
- Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model
- Tracking analysis of an ARMA parameter estimation algorithm
- Predictive Density Order Selection of Periodic AR Models
- A Note on Calculating Autocovariances of PeriodicARMAModels
- Calculating the autocovariances and the likelihood for periodic V ARMA models
- Parameter estimation with closed-loop operating data under time varying discrete proportional-integral control
- Identification of Periodic Moving-Average Models
- The effect of temporal aggregation on the estimation accuracy of time series models
- RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- Asymptotic results for Fourier-PARMA time series
- Parsimonious time series modeling for high frequency climate data
- The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
- Efficient estimation in periodic INAR(1) model: parametric case
- Measures of cross-dependence for bidimensional periodic AR(1) model with -stable distribution
- Bootstrapping periodic state-space models
- Causality conditions and autocovariance calculations in PVAR models
- A comparison between the autocorellation functions of seasonal ARMA and PARMA models
- A prediction-residual approach for identifying rare events in periodic time series
- On periodic EGARCH models
- The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
- Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model
- On a different way of understanding the edge-effect for the inference of ARMA-type processes (in \(\mathbb{Z}^d\))
- General model selection estimation of a periodic regression with a Gaussian noise
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