A NOTE ON ARMA ESTIMATION

DOI10.1111/J.1467-9892.1983.TB00353.XzbMATH Open0517.62089OpenAlexW2051687902MaRDI QIDQ3666098FDOQ3666098

E. J. Hannan, Hongzhi An, Zhao-Guo Chen

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00353.x

zbMATH Keywords

manifoldHankel matrixorderKronecker indicesMcMillan degreeautoregressive-moving average processARMA estimationinitial parameter estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cites Work

• Title not available (Why is that?)
• The estimation of ARMA models
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Linear multivariable systems
• Minimal Bases of Rational Vector Spaces, with Applications to Multivariable Linear Systems
• Vector linear time series models: corrections and extensions
• On the fitting of multivariate processes of the autoregressive-moving average type
• Correction to: The estimation of ARMA models

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