ESTIMATION IN MULTIPLE AUTOREGRESSIVE-MOVING AVERAGE MODELS USING PERIODICITY

DOI10.1111/J.1467-9892.1987.TB00441.XMaRDI QIDQ3773124zbMATH OpenOpenAlexFDO

Authors Tomáš Cipra, Pavel Tlustý

Publication date 1987

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1987.tb00441.x

zbMATH Keywords

Yule-Walker equationsnumerical illustrationsestimated residualsperiodic ARMA processesAR parameter estimatesmultiple autoregressive-moving average model

Mathematics Subject Classification ID

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

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Cites work

• On periodic and multiple autoregressions
• Using Periodic Autoregressions for Multiple Spectral Estimation

Cited in

(8)

• A Note on Calculating Autocovariances of PeriodicARMAModels
• General model selection estimation of a periodic regression with a Gaussian noise
• Multiple unit roots in periodic autoregression
• Estimating weak periodic vector autoregressive time series
• Calculating the autocovariances and the likelihood for periodic V ARMA models
• Large sample properties of parameter estimates for periodic ARMA models
• scientific article; zbMATH DE number 3858241 (Why is no real title available?)
• Estimation and identification of periodic autoregressive models with one exogenous variable

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