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Recursive method for ARMA model estimation (II)

Recursive method for ARMA model estimation (II) In this paper a new recursive method for ARMA model estimation is given. Same as in [1], the order's estimator is strongly consistent, and the pearameter's estimaters defer to CLT and LIL under a natural condition. Compared with the previous methods suggested by Hannan & Kavalieris (1984), Wang Shouren & Chen Zhaoguo (1985) and Franke (1985), this method has some advantages: the amount of calculat on work is smaller, the minimum-phase property of coefficient estimators can be guaranteed, the BAN estimators for MA or AR model can be obtained directly, and the simulation shows that this method is more accurate in estimating the order and parameters. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Recursive method for ARMA model estimation (II)

Acta Mathematicae Applicatae Sinica , Volume 5 (4) – Jul 13, 2005

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Publisher
Springer Journals
Copyright
Copyright © 1989 by Science Press, Beijing, China and Allerton Press, Inc., New York, U.S.A.
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/BF02005955
Publisher site
See Article on Publisher Site

Abstract

In this paper a new recursive method for ARMA model estimation is given. Same as in [1], the order's estimator is strongly consistent, and the pearameter's estimaters defer to CLT and LIL under a natural condition. Compared with the previous methods suggested by Hannan & Kavalieris (1984), Wang Shouren & Chen Zhaoguo (1985) and Franke (1985), this method has some advantages: the amount of calculat on work is smaller, the minimum-phase property of coefficient estimators can be guaranteed, the BAN estimators for MA or AR model can be obtained directly, and the simulation shows that this method is more accurate in estimating the order and parameters.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jul 13, 2005

References