Recursive computation of the parameters of periodic autoregressive moving-average processes

Georgi N. Boshnakov

doi:10.1111/j.1467-9892.1996.tb00281.x

Recursive computation of the parameters of periodic autoregressive moving-average processes

Research output: Contribution to journal › Article › peer-review

Abstract

An algorithm for recursive computation of the parameters of periodic autoregressive moving-average (ARMA) processes is given. It also provides recursions for stationary multivariate ARMA processes. A procedure for simultaneous estimation of the order and the parameters of a periodic ARMA process is outlined.

Original language	English
Pages (from-to)	333-349
Number of pages	16
Journal	Journal of Time Series Analysis
Volume	17
Issue number	4
DOIs	https://doi.org/10.1111/j.1467-9892.1996.tb00281.x
Publication status	Published - Jul 1996

Keywords

Order determination
Periodic ARMA process
Periodically correlated process
Recursive computation of parameters

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10.1111/j.1467-9892.1996.tb00281.x

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title = "Recursive computation of the parameters of periodic autoregressive moving-average processes",

abstract = "An algorithm for recursive computation of the parameters of periodic autoregressive moving-average (ARMA) processes is given. It also provides recursions for stationary multivariate ARMA processes. A procedure for simultaneous estimation of the order and the parameters of a periodic ARMA process is outlined.",

keywords = "Order determination, Periodic ARMA process, Periodically correlated process, Recursive computation of parameters",

author = "Boshnakov, {Georgi N.}",

year = "1996",

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AB - An algorithm for recursive computation of the parameters of periodic autoregressive moving-average (ARMA) processes is given. It also provides recursions for stationary multivariate ARMA processes. A procedure for simultaneous estimation of the order and the parameters of a periodic ARMA process is outlined.

KW - Order determination

KW - Periodic ARMA process

KW - Periodically correlated process

KW - Recursive computation of parameters

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DO - 10.1111/j.1467-9892.1996.tb00281.x

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SP - 333

EP - 349

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

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Recursive computation of the parameters of periodic autoregressive moving-average processes

Abstract

Keywords

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