THE ESTIMATION OF PARAMETERS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS

DOI10.1111/J.1467-9892.1984.TB00378.XMaRDI QIDQ3333925zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• A direct representation for the maximum likelihood estimator of a Gaussian moving average process
• Factorization of the Covariance Generating Function of a Pure 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

(25)

• Estimation of the parameters of a time series subject to the error of rotation sampling
• On the convergence of some adaptive estimation procedures
• Finite sample properties of estimators for autoregressive moving average models
• scientific article; zbMATH DE number 758243 (Why is no real title available?)
• Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• scientific article; zbMATH DE number 223230 (Why is no real title available?)
• Estimation of parameters and eigenmodes of multivariate autoregressive models
• scientific article; zbMATH DE number 903175 (Why is no real title available?)
• scientific article; zbMATH DE number 5220389 (Why is no real title available?)
• Estimation of multivariate signal by output autocovariance data in linear discrete-time systems
• scientific article; zbMATH DE number 3992726 (Why is no real title available?)
• Randomly Choosing Parameters from the Stationarity and Invertibility Region of Autoregressive-Moving Average Models
• Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend
• scientific article; zbMATH DE number 3909578 (Why is no real title available?)
• An improved conjugate gradient parameter estimation for autoregressive integrated moving average model
• A LINEAR ESTIMATION PROCEDURE FOR THE PARAMETERS OF AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models
• A method for autoregressive-moving average estimation
• The auto regression moving average model optimization method of parameter estimation based on the improved conjugate gradient thoughts
• ESTIMATION OF AUTOREGRESSIVE PARAMETERS AND ORDER SELECTION FOR ARMA MODELS
• scientific article; zbMATH DE number 39123 (Why is no real title available?)
• scientific article; zbMATH DE number 1228716 (Why is no real title available?)
• Estimating linear representations of nonlinear processes
• scientific article; zbMATH DE number 5164555 (Why is no real title available?)

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