GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS
Two multistage methods for estimating scalar ARMA models are investigated. Both estimate innovations using an autoregression; these are used to obtain initial ARMA parameter estimates by regression and finally the initial estimates are refined by generalized least squares or nonlinear optimization to achieve efficiency. We provide a proof of the generalized least squares procedure. Copyright 2003 Blackwell Publishers Ltd.
Year of publication: |
2003
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Authors: | KAVALIERIS, L. ; HANNAN, E. J. ; SALAU, M. |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 24.2003, 2, p. 165-172
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Publisher: |
Wiley Blackwell |
Saved in:
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