One New Method on ARMA Model Parameters Estimation

Xiaoqin Cao, Rui Shan, Jing Fan and Peiliang Li

Modern Applied Science, 2009, vol. 3, issue 5, 204

Abstract: The estimation of ARMA model parameters really belongs to the least-square problem,in ARMA model because the residual are calculated by given time series,the time series and parameter are nonlinear.However it is difficult to calculate the derivative of objective function.This paper substitutes derivative with difference,then calculate the first derivative and the second derivative of objective function.Finally we prove that, under suitable hypotheses, the proposed algorithm converges globally.

Date: 2009
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