GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS
| Autor: | E. J. Hannan, L. Kavalieris, M. O. Salau |
|---|---|
| Rok vydání: | 2003 |
| Předmět: |
Statistics and Probability
Statistics::Theory Mathematical optimization Applied Mathematics Generalized least squares Regression Nonlinear programming Iteratively reweighted least squares Autoregressive model Non-linear least squares Statistics::Methodology Applied mathematics Statistics Probability and Uncertainty Total least squares Nonlinear regression Mathematics |
| Zdroj: | Journal of Time Series Analysis. 24:165-172 |
| ISSN: | 0143-9782 |
| DOI: | 10.1111/1467-9892.00301 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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