A fast estimation method for ARMA processes

DOI10.1016/0005-1098(96)85553-1zbMath0849.93018OpenAlexW2168979951MaRDI QIDQ1911256

Jacques Kiseta Sabiti

Publication date: 12 November 1996

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(96)85553-1

zbMATH Keywords

Gaussian ARMA processestwo-stage least squares procedure

Mathematics Subject Classification ID

System identification (93B30) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12)

Uses Software

• AS 197

Cites Work

• Unnamed Item
• Autocorrelation, autoregression and autoregressive approximation
• Linear estimation of ARMA processes
• Linear identification of ARMA processes
• Convergence properties of the generalised least squares identification method
• THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1
• The Fitting of Time-Series Models
• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Bounds on the accuracy of Gaussian ARMA parameter estimation methods based on sample covariances
• On the exact maximum likelihood estimation of Gaussian autoregressive processes
• Recursive estimation of mixed autoregressive-moving average order
• An exact forward-backward maximum likelihood autoregressive parameter estimation method
• Identification of autoregressive moving-average parameters of time series
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• Large-sample estimation of parameters for autoregressive processes with moving-average residuals

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