A fast estimation method for ARMA processes
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Publication:1911256
DOI10.1016/0005-1098(96)85553-1zbMath0849.93018OpenAlexW2168979951MaRDI QIDQ1911256
Publication date: 12 November 1996
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0005-1098(96)85553-1
System identification (93B30) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12)
Uses Software
Cites Work
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- Linear estimation of ARMA processes
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- Convergence properties of the generalised least squares identification method
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- The Fitting of Time-Series Models
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- Bounds on the accuracy of Gaussian ARMA parameter estimation methods based on sample covariances
- On the exact maximum likelihood estimation of Gaussian autoregressive processes
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- An exact forward-backward maximum likelihood autoregressive parameter estimation method
- Identification of autoregressive moving-average parameters of time series
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process
- On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
- On Limit Theorems for Quadratic Functions of Discrete Time Series
- Large-sample estimation of parameters for autoregressive processes with moving-average residuals
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