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

MaRDI QIDQ3633252zbMATH OpenFDO

Authors Antony Gautier

Publication date 18 June 2009

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

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)

Recommendations

• Recursive method for ARMA model estimation. I
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• Estimating ARMA models with recurrent regime changes

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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