A method to estimate the parameters of an ARMA model

DOI10.1109/TAC.1987.1104521zbMATH Open0628.93061OpenAlexW1988638449MaRDI QIDQ3765675FDOQ3765675

Authors: G. Alengrin, Josiane Zerubia 

Publication date: 1987

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1987.1104521

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zbMATH Keywords

parameter estimationARMA modelone-step predictor

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

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• ARMA realization from the reflection coefficient sequence
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• A comparison of two linear methods of estimating the parameters of ARMA models
• New approximation for ARMA parameters estimate
• One New Method on ARMA Model Parameters Estimation
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• Large-sample estimation of the AR parameters of an ARMA model
• Test and Analysis for Comovement-Locomotive Hypothesis
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• Uniqueness of estimated k-step prediction models of ARMA processes
• Recursive method for ARMA model estimation. I
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