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A fast estimation method for ARMA processes

โœ Scribed by Jacques Kiseta Sabiti

Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
587 KB
Volume
32
Category
Article
ISSN
0005-1098

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โœฆ Synopsis

An improvement

of a batch algorithm for parameter estimation of an ARMA process is presented. A fast and iterative algorithm is presented, and provides estimates with the same asymptotic distribution as the maximum likelihood estimates. This algorithm is a modified version of the method suggested by Mayne and Firoozan [(1982). Linear identification of ARMA processes. Auromatica, 18, 461-4661 and requires one less regression than the previous method, if only one pass is executed.

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