An efficient method to compute consistent estimates of the AR parameters of an ARMA model

DOI10.1109/TAC.1986.1104254zbMath0592.93059OpenAlexW2127184312MaRDI QIDQ3722391

Bradley W. Dickinson, Shiping Li

Publication date: 1986

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1986.1104254

zbMATH Keywords

consistent estimationautoregressive parameterscomputationally efficient methodautoregressive moving-average modelmodified Yule- Walker estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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