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Linear estimation of ARMA processes

โœ Scribed by E.J. Hannan; L. Kavalieris

Publisher
Elsevier Science
Year
1983
Tongue
English
Weight
187 KB
Volume
19
Category
Article
ISSN
0005-1098

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Linear identification of ARMA processes
Linear identification of ARMA processes
โœ D.Q. Mayne; F. Firoozan ๐Ÿ“‚ Article ๐Ÿ“… 1982 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 497 KB

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

A fast estimation method for ARMA proces
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โœ Jacques Kiseta Sabiti ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 587 KB

## 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 suggest