A Levinson-Durbin recursion for autoregressive-moving average processes

DOI10.1093/biomet/72.3.573zbMath0596.62083OpenAlexW1994152191MaRDI QIDQ3729864

Jürgen Franke

Publication date: 1985

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/72.3.573

zbMATH Keywords

ARMAorder selectionautoregressive-moving average processBox-Jenkins equationsLevinson-Durbin recursion

Mathematics Subject Classification ID

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

Related Items (8)

ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING ⋮ RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS ⋮ RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES ⋮ ESTIMATION OF AUTOREGRESSIVE PARAMETERS AND ORDER SELECTION FOR ARMA MODELS ⋮ On the generation of random stable polynomials ⋮ ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES ⋮ Recursive method for ARMA model estimation. II ⋮ Randomized methods of stabilization of the discrete linear systems

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