A LINEAR ESTIMATION PROCEDURE FOR THE PARAMETERS OF AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

DOI10.1111/j.1467-9892.1991.tb00086.xzbMath0736.62076OpenAlexW2047435674MaRDI QIDQ3985817

Shean-Tsong Chiu

Publication date: 27 June 1992

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1991.tb00086.x

zbMATH Keywords

time seriesGaussian processesspectrumperiodogramsystems of linear equationsone-step estimatelinear estimation procedureautoregressive moving-average processesiterative estimatesweighted linear least-squares problem

Mathematics Subject Classification ID

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

Cites Work

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• Recursive estimation of mixed autoregressive-moving average order
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• The asymptotic theory of linear time-series models
• A new look at the statistical model identification

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