RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

DOI10.1111/J.1467-9892.1996.TB00281.XMaRDI QIDQ4715705zbMATH OpenOpenAlexFDO

Authors Georgi N. Boshnakov

Publication date 1 April 1997

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1996.tb00281.x

zbMATH Keywords

identificationperiodically correlated processessimultaneous estimationorder determinationrecursive computationperiodic autoregressive moving-average processesforward and backward predictorsstationary multivariate ARMA processes

Mathematics Subject Classification ID

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

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• scientific article; zbMATH DE number 3938370
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Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• A Levinson-Durbin recursion for autoregressive-moving average processes
• An algorithm for the exact likelihood of periodic autoregressive moving average models
• Multivariate linear time series models
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Recursive estimation of mixed autoregressive-moving average order
• The Fitting of Time-Series Models

Cited in

(18)

• PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models
• Calculating the autocovariances and the likelihood for periodic V ARMA models
• On the recursive fitting of subset autoregressive-moving average process
• Periodic autoregressive model identification using genetic algorithms
• Asymptotic results for Fourier-PARMA time series
• A periodic Levinson-Durbin algorithm for entropy maximization
• PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
• Predictive Density Order Selection of Periodic AR Models
• On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations
• A new algorithm for recursive estimation of parameters in controlled ARMA processes
• On Markov-switching periodicARMAmodels
• A Levinson-Durbin recursion for autoregressive-moving average processes
• An algorithm for solving the extended Yule- Walker equations of an autoregressive moving-average time series (Corresp.)
• An algorithm for the exact likelihood of periodic autoregressive moving average models
• An On-Line Estimation Algorithm for Periodic Autoregressive Models
• Recursive prediction and likelihood evaluation for periodic ARMA models
• Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
• FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

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