RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES

Georgi N. Boshnakov

Journal of Time Series Analysis, 1996, vol. 17, issue 4, 333-349

Abstract: 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.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:17:y:1996:i:4:p:333-349

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