Parameter estimation of an autoregressive moving average model

DOI10.1007/BF02481009zbMATH Open0479.62068OpenAlexW2065252143MaRDI QIDQ1162091FDOQ1162091

Authors: Junji Nakano 

Publication date: 1982

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02481009

zbMATH Keywords

normalityNewton-Raphson methodasymptotically efficientmethod of least squareslog smoothed periodogram

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• An exponential model for the spectrum of a scalar time series
• The Fitting of Time-Series Models
• Automatic Smoothing of the Log Periodogram
• Estimation of the Innovation Variance of a Stationary Time Series
• The Estimation of the Prediction Error Variance
• The estimation of mixed moving average autoregressive systems
• Estimation for autoregressive moving average models in the time and frequency domains
• Large-sample estimation of parameters for autoregressive processes with moving-average residuals
• The Inverse Autocorrelations of a Time Series and Their Applications
• Title not available (Why is that?)

This page was built for publication: Parameter estimation of an autoregressive moving average model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1162091)