Iterative versus noniterative derivation of moving average parameters of ARMA processes

DOI10.1016/0893-9659(88)90178-4MaRDI QIDQ1094063zbMATH OpenOpenAlexFDO

Authors Stefan Mittnik

Publication date 1988

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0893-9659(88)90178-4

zbMATH Keywords

iterative methodsmixed ARMA processMonte Carlo studymoving average coefficientsnoniterative approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

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.

Recommendations

• Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
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• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• scientific article; zbMATH DE number 1087964

Cites work

• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• scientific article; zbMATH DE number 3179103 (Why is no real title available?)

Cited in

(2)

• scientific article; zbMATH DE number 6531105 (Why is no real title available?)
• Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes

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