An improved conjugate gradient parameter estimation for autoregressive integrated moving average model

zbMATH Open1340.62089MaRDI QIDQ3463100FDOQ3463100

Authors: Rui Shan, Yaning Liu, Wen Liu 

Publication date: 15 January 2016

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zbMATH Keywords

parameter estimationconjugate gradient methodunconstrained problemautoregressive integrated moving average modelauto-regressive and moving average modelWolfe search

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Improving the convergence rate in conditional autoregressive models
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• 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
• A prediction approach for precise marketing based on ARIMA-ARCH model: a case of China mobile

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