Parameter estimation of ARMA processes

zbMath0744.62129MaRDI QIDQ1177488

E. G. Zhilyakov

Publication date: 26 June 1992

Published in: Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

stochastic difference equationYule-Walker equationsalgebraic propertiesautoregressive-moving average processelements of inverse covariance matrices of ARMA processesnew estimation algorithms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Determinants, permanents, traces, other special matrix functions (15A15) Basic linear algebra (15A99)

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