A NOTE ON ARMA ESTIMATION

An Hong‐Zhi, Chen Zhao‐Guo and E. J. Hannan

Journal of Time Series Analysis, 1983, vol. 4, issue 1, 9-17

Abstract: Abstract. The ranks of certain matrices composed of autocovariances of an ARMA process are considered. These matrices arise in connection with initial estimates of the parameters of such a system. Conditions for such matrices to be of full rank are expressed in terms of conditions on a dual time reversed system.

Date: 1983
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