On the numerical implementation of the generalized least squares procedure for arma estimation

Autor:	M. O. Salau
Rok vydání:	1995
Předmět:	Statistics and Probability Recursive least squares filter Iteratively reweighted least squares Modeling and Simulation Non-linear least squares Statistics Least trimmed squares Generalized least squares Total least squares Least squares Linear least squares Mathematics
Zdroj:	Communications in Statistics - Simulation and Computation. 24:111-130
ISSN:	1532-4141 0361-0918
DOI:	10.1080/03610919508813233
Popis:	This paper provides a formal justification for using the generalized least squares procedure to estimate scalar autoregressive moving average models and also suggests an alternative numerical method for evaluating the generalized least squares estimator. The proposed technique makes use of a sequence of recursions supplemented by relatively simple matrix calculations and is at least an order of magnitude faster than the existing methods. Simulation experiments are performed to compare the relative computational efficiency of the suggested method.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4666ffd1c1f6265850bc037876719e2f https://doi.org/10.1080/03610919508813233 Zobrazit plný text záznamu