A method to estimate the parameters of an ARMA model

DOI10.1109/TAC.1987.1104521zbMath0628.93061OpenAlexW1988638449MaRDI QIDQ3765675

G. Alengrin, Josiane Zerubia

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1109/tac.1987.1104521

zbMATH Keywords

parameter estimationARMA modelone-step predictor

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

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