Optimal ARMA parameter estimation based on the sample covariances for data with missing observations

DOI10.1109/18.32128MaRDI QIDQ3825976zbMATH OpenOpenAlexFDO

Authors Yonina Rosen, Boaz Porat

Publication date 1989

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.32128

zbMATH Keywords

algorithmARMA modelasymptotic variancespectral estimationstationary processesnonlinear least squaresmissing observationsautoregressive moving-averagesample covariancesasymptotically optimal estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• ARMA spectral estimation of time series with missing observations
• Un algoritmo iterativo para la estimacion de modelos arma con ausencia de observaciones
• ARMA spectral estimation based on partial autocorrelations
• Autoregressive spectral analysis when observations are missing
• The second-order moments of the sample covariances for time series with missing observations

Cited in

(6)

• Autoregressive spectral analysis when observations are missing
• Finite memory observers for linear time-varying systems: theory and diagnosis applications
• Estimation method of moving average model with missing data
• scientific article; zbMATH DE number 2158234 (Why is no real title available?)
• ARMA spectral estimation of time series with missing observations
• Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data

This page was built for publication: Optimal ARMA parameter estimation based on the sample covariances for data with missing observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3825976)