Parameter estimation of ARMA processes

MaRDI QIDQ1177488zbMATH OpenFDO

Authors E. G. Zhilyakov

Publication date 26 June 1992

Published in Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

stochastic difference equationYule-Walker equationsalgebraic propertiesautoregressive-moving average processelements of inverse covariance matrices of ARMA processesnew estimation algorithms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Basic linear algebra (15A99) Determinants, permanents, traces, other special matrix functions (15A15)

Cited in

(13)

• On the computation of the Cramer-Rao bound for ARMA parameter estimation
• Parameter estimation for INAR processes based on high-order statistics
• Discrete-valued ARMA processes
• New approximation for ARMA parameters estimate
• Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models
• scientific article; zbMATH DE number 2049028 (Why is no real title available?)
• Large-sample estimation of the AR parameters of an ARMA model
• Test and Analysis for Comovement-Locomotive Hypothesis
• Continuous-time AR process parameter estimation in presence of additive white noise
• Estimation of the parameters for unstable AR models
• A direct determination of ARMA algorithms for the simulation of stationary random processes
• On Parameter Estimation for Exponential Dispersion Arma Models
• Time-Frequency ARMA Models and Parameter Estimators for Underspread Nonstationary Random Processes

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