ESTIMATION IN MULTIPLE AUTOREGRESSIVE-MOVING AVERAGE MODELS USING PERIODICITY

DOI10.1111/J.1467-9892.1987.TB00441.XzbMath0634.62085OpenAlexW2063608742MaRDI QIDQ3773124

Pavel Tlustý, Tomáš Cipra

Publication date: 1987

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00441.x

zbMATH Keywords

Yule-Walker equationsnumerical illustrationsestimated residualsperiodic ARMA processesAR parameter estimatesmultiple autoregressive-moving average model

Mathematics Subject Classification ID

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

Cites Work

• On periodic and multiple autoregressions
• Using Periodic Autoregressions for Multiple Spectral Estimation

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