Recursive method for ARMA model estimation. II

DOI10.1007/BF02005955MaRDI QIDQ1813490zbMATH OpenFDO

Authors Dawei Huang

Publication date 25 June 1992

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitystrong consistencysimulationtime seriescentral limit theoremlaw of iterated logarithmrecursion methodBAN estimatorsorder estimatorARMA model estimationminimum-phase property of coefficient estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3880504 (Why is no real title available?)
• scientific article; zbMATH DE number 4058557 (Why is no real title available?)
• scientific article; zbMATH DE number 4086822 (Why is no real title available?)
• A Levinson-Durbin recursion for autoregressive-moving average processes
• A method for autoregressive-moving average estimation
• Autocorrelation, autoregression and autoregressive approximation
• Estimation of the order of ARMA model by linear procedures
• LEVINSON-TYPE RECURSIVE ALGORITHMS FOR LEAST-SQUARES AUTOREGRESSION
• Multivariate linear time series models
• Recursive estimation of mixed autoregressive-moving average order
• Recursive method for ARMA model estimation. I

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(15)

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• A robust recursive technique for pole-zero system model order estimation
• A new algorithm for recursive estimation of parameters in controlled ARMA processes
• Recursive maximum likelihood estimation of autoregressive processes
• A recursive procedure for ARMA modeling
• An efficient method to compute consistent estimates of the AR parameters of an ARMA model
• One New Method on ARMA Model Parameters Estimation
• On the relationship between levinson recursion and the r and s arrays for arma model identification
• Recursive method for ARMA model estimation. I
• ESTIMATION OF AUTOREGRESSIVE PARAMETERS AND ORDER SELECTION FOR ARMA MODELS
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• scientific article; zbMATH DE number 3938370 (Why is no real title available?)

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