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Identification and estimation of non-Gaussian ARMA processes

โœ Scribed by Lii, K.-S.


Book ID
114559337
Publisher
IEEE
Year
1990
Weight
905 KB
Volume
38
Category
Article
ISSN
0096-3518

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A new method for estimating the parameters of an ARMA process is presented. The method consists of three linear least-squares estimations. In the first an autoregressive model is fitted to the observation sequence, yielding an estimate of the values of the driving white noise sequence. Linear least