Kalman-type recursions for time-varying ARMA models and their implication for least squares procedure

zbMATH Open1163.62067MaRDI QIDQ3633252FDOQ3633252

Authors: Antony Gautier 

Publication date: 18 June 2009

Full work available at URL: http://www.math.uni.wroc.pl/~pms/publications.php

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zbMATH Keywords

least squares procedurestate-space representationstime-varying ARMA modelsKalman-type recursionsWold-Cramér decomposition

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cited In (5)

• Chandrasekhar-type recursions for periodic linear systems
• The ARMA model in state space form
• Identification of an unstable ARMA equation
• A note on an iterative least-squares estimation method for ARMA and VARMA models
• An iterative Kalman smoother/least-squares algorithm for the identification of delta-ARX models

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