Recursive method for ARMA model estimation. I

DOI10.1007/BF02006066zbMath0744.62124OpenAlexW1964191333MaRDI QIDQ1812567

Dawei Huang

Publication date: 25 June 1992

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

Full work available at URL: https://doi.org/10.1007/bf02006066

zbMATH Keywords

white noiserecursive formulaslong least squares autoregressionstationary invertible ergodic ARMA\((p_ 0,q_ 0)\) time series

Mathematics Subject Classification ID

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

Related Items (5)

Estimation of the mixed AR and hidden periodic model ⋮ LEVINSON-TYPE RECURSIVE ALGORITHMS FOR LEAST-SQUARES AUTOREGRESSION ⋮ Estimation of parameters in ARUMA models ⋮ Recursive method for ARMA model estimation. II ⋮ Identification of multivariate ARMA models

Cites Work

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• THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1
• The Fitting of Time-Series Models
• A method for autoregressive-moving average estimation
• An Asymptotic Result for the Finite Predictor.
• Recursive estimation of mixed autoregressive-moving average order
• Extensions of the Pade-approximant technique for the design of recursive digital filters

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