The auto regression moving average model optimization method of parameter estimation based on the improved conjugate gradient thoughts

zbMATH Open1313.65013MaRDI QIDQ2927477FDOQ2927477

Authors: Rui Shan, Sutong Shi, Wen Liu 

Publication date: 3 November 2014

Published in: Journal of Lanzhou University of Technology (Search for Journal in Brave)

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zbMATH Keywords

parameter estimationnonlinear programmingglobal convergenceconjugate gradient methodARMA\((p, q)\) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonlinear programming (90C30)

Cited In (3)

• An improved conjugate gradient parameter estimation for autoregressive integrated moving average model
• Optimization method for ARIMA model parameter estimation based on idea of improved spectral conjugate gradient
• Parameter estimation method of ARIMA model based on convex combination conjugate gradient

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