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

DOI10.1111/j.1467-9892.1996.tb00281.xzbMath0858.62074MaRDI QIDQ4715705

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

identification; periodically correlated processes; simultaneous estimation; order determination; recursive computation; periodic autoregressive moving-average processes; forward and backward predictors; stationary multivariate ARMA processes

Mathematics Subject Classification ID

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

Related Items

On Markov-switching periodicARMAmodels, Asymptotic results for Fourier-PARMA time series, Periodic autoregressive model identification using genetic algorithms, An On-Line Estimation Algorithm for Periodic Autoregressive Models, Predictive Density Order Selection of Periodic AR Models, Calculating the autocovariances and the likelihood for periodic V ARMA models

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