Parameter estimation of ARMA processes
zbMATH Open0744.62129MaRDI QIDQ1177488FDOQ1177488
Authors: E. G. Zhilyakov 
Publication date: 26 June 1992
Published in: Problems of Information Transmission (Search for Journal in Brave)
stochastic difference equationYule-Walker equationsalgebraic propertiesautoregressive-moving average processelements of inverse covariance matrices of ARMA processesnew estimation algorithms
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
- Title not available (Why is that?)
- 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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