Recursive estimation of mixed autoregressive-moving average order
From MaRDI portal
Publication:3957830
DOI10.1093/biomet/69.1.81zbMath0494.62083OpenAlexW2172027528MaRDI QIDQ3957830
No author found.
Publication date: 1982
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/69.1.81
strong convergenceasymptotic propertiesinnovationsmartingalevector autoregressionbest codingrecursive estimation of mixed autoregressive-moving average orderstationary, ergodic process
Related Items
A generalized least squares estimation method for VARMA models, Generative Exponential Smoothing and Generative ARMA Models to Forecast Time-Variant Rates or Probabilities, Mutual information model selection algorithm for time series, Predicting the structural evolution of networks by applying multivariate time series, Vector autoregressive moving average identification for macroeconomic modeling: a new methodology, Implementing unit roost tests in ARMA models of unknown order, The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model, Testing causality using efficiently parametrized vector ARMA models, Hybridization of intelligent techniques and ARIMA models for time series prediction, Inference on transformed stationary time series, Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models, REGRESSION, AUTOREGRESSION MODELS, TRANSFER FUNCTION ESTIMATION, On estimating the order of an ARMA process, A Strongly Consistent Criterion to Decide Between I(1) and I(0) Processes Based on Different Convergence Rates, Open-loop asymptotically efficient model reduction with the Steiglitz-McBride method, On the recursive fitting of subset autoregressive-moving average process, A new preliminary estimator for MA(1) models, A LINEAR ESTIMATION PROCEDURE FOR THE PARAMETERS OF AUTOREGRESSIVE MOVING-AVERAGE PROCESSES, Consistent order selection for ARFIMA processes, Consistent order selection for noncausal autoregressive models via higher-order statistics, SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS, Twenty-one ML estimators for model selection, A specification strategy for order determination in arma models, ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING, A fast estimation method for ARMA processes, Consistency and relative efficiency of subspace methods, Using instrumental variables for selecting the order of arma models, ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS, Model-structure selection by cross-validation, Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form, A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models, Consistent order estimation for linear stochastic feedback control systems (CARMA model), Selection of weak VARMA models by modified Akaike's information criteria, Periodic autoregressive model identification using genetic algorithms, Automatic SARIMA modeling and forecast accuracy, MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT, RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS, ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS, Discrete variable stochastic approximation procedures and recursive autoregressive model identification, RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES, Linear Methods for Estimating Arma and Regression Models with Serial Correlation, A note on an iterative least-squares estimation method for ARMA and VARMA models, Estimation and forecasting in vector autoregressive moving average models for rich datasets, A generalized least squares estimation method for invertible vector moving average models, New exact ML estimation and inference for a Gaussian \(MA(1)\) process, ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING, Improved maximum likelihood estimation of ARMA models, Testing for Threshold Effects in the TARMA Framework, Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm, High‐dimensional sparse multivariate stochastic volatility models, On the numerical implementation of the generalized least squares procedure for arma estimation, Estimation of functional ARMA models, Estimating structural VARMA models with uncorrelated but non-independent error terms, Extimation and structure determination of multivariate input systems, Nonlinearity testing and modeling for threshold moving average models, QUANTIFICATION OF SYNCHRONIZATION PROCESSES BY COHERENCE AND PHASE AND ITS APPLICATION IN ANALYSIS OF ELECTROPHYSIOLOGICAL SIGNALS, Uniform convergence rate of estimators of autocovariances in partly linear regression models with correlated errors, New approximation for ARMA parameters estimate, Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models, A complete VARMA modelling methodology based on scalar components, Testing autocorrelation and partial autocorrelation: Asymptotic methods versus resampling techniques, ESTIMATION OF AUTOREGRESSIVE PARAMETERS AND ORDER SELECTION FOR ARMA MODELS, New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates, A Bayesian approach to state space multivariate time series modeling, ARMA MODELS REALIZATION AND IMPULSE RESPONSES, Gauss, Kalman and advances in recursive parameter estimation, Determining the order of an arm a model from outlier contaminated data, New approaches for determining the degree of differencing necessary to induce stationarity in ARIMA models, A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION, Estimation of impulse response functions using long autoregression, Model identification of ARIMA family using genetic algorithms, Business cycle analysis and VARMA models, Bootstrapping moving average models, Estimation of the Polynomial Matrices of Vector Moving Average Processes, ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R2MEASURE BY AUTOREGRESSIVE MODEL FITTING, Subset regression time series and its modeling procedures, Recursive method for ARMA model estimation. I, Recursive method for ARMA model estimation. II, Identification of Threshold Autoregressive Moving Average Models, Faster ARMA maximum likelihood estimation, Gauss-Newton and M-estimation for ARMA processes with infinite variance, A numerical method for factorizing the rational spectral density matrix, FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS, ROBUST RECURSIVE ANALYSIS OF SEASONAL MOVING AVERAGE MODELS, Testing linearity against nonlinear moving average models, Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density, Determining the order of the functional autoregressive model, Linear estimation of ARMA processes, Autoregressive model selection for multistep prediction, Parametric estimation of hidden Markov models by least squares type estimation and deconvolution, Estimation of structure by minimum description length, Maximum likelihood estimation for arma models in the presence of ARMA errors, Refined instrumental variable estimation: maximum likelihood optimization of a unified Box-Jenkins model, THE ASYMPTOTIC EFFICIENCY OF A LINEAR PROCEDURE OF ESTIMATION FOR ARMA MODELS, Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models, A NOTE ON SOME STATISTICS USEFUL IN IDENTIFYING THE ORDER OF AUTOREGRESSIVE MOVING AVERAGE MODEL, Recursive estimation: A unified approach to the identification, estimation, and forecasting of hydrological systems, The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
