THE ESTIMATION OF PARAMETERS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS

DOI10.1111/J.1467-9892.1984.TB00378.XzbMATH Open0544.62083OpenAlexW2087986189MaRDI QIDQ3333925FDOQ3333925

Pham Dinh Tuan

Publication date: 1984

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1984.tb00378.x

zbMATH Keywords

maximum likelihood estimationfixed point iterationinformation matrixautoregressive moving average modelsample autocovariancesreal data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• A direct representation for the maximum likelihood estimator of a Gaussian moving average process
• Modified maximum likelihood estimation of Gaussian moving averages using a pseudoquadratic convergence criterion
• The estimation of parameters for autoregressive-moving average models from sample autocovariances

Cited In (20)

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• A LINEAR ESTIMATION PROCEDURE FOR THE PARAMETERS OF AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
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• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• Title not available (Why is that?)
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• Finite sample properties of estimators for autoregressive moving average models
• Title not available (Why is that?)
• Estimation of multivariate signal by output autocovariance data in linear discrete-time systems
• A method for autoregressive-moving average estimation
• Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models
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• Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function
• Estimation of parameters and eigenmodes of multivariate autoregressive models
• Estimating linear representations of nonlinear processes
• Title not available (Why is that?)
• Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend
• Estimation of the parameters of a time series subject to the error of rotation sampling
• On the convergence of some adaptive estimation procedures

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