A GENERALIZED LEAST‐SQUARES APPROACH FOR ESTIMATION OF AUTOREGRESSIVE MOVING‐AVERAGE MODELS

Sergio Koreisha and Tarmo Pukkila

Journal of Time Series Analysis, 1990, vol. 11, issue 2, 139-151

Abstract: Abstract. In this paper we present a generalized least‐squares approach for estimating autoregressive moving‐average (ARMA) models. Simulation results based on different model structures with varying numbers of observations are used to contrast the performance of our procedure with that of maximum likelihood estimates. Existing software packages can be utilized to derive these estimates.

Date: 1990
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https://doi.org/10.1111/j.1467-9892.1990.tb00047.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:11:y:1990:i:2:p:139-151

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