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New Method of Order Estimation for ARMA/ARMAX Processes

โœ Scribed by Chen, Han-Fu; Zhao, Wen-Xiao

Book ID
118204912
Publisher
Society for Industrial and Applied Mathematics
Year
2010
Tongue
English
Weight
313 KB
Volume
48
Category
Article
ISSN
0363-0129

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A fast estimation method for ARMA proces
A fast estimation method for ARMA processes
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