ESTIMATION IN MULTIPLE AUTOREGRESSIVE‐MOVING AVERAGE MODELS USING PERIODICITY

Tomáš Cipra and Pavel Tlustý

Journal of Time Series Analysis, 1987, vol. 8, issue 3, 293-300

Abstract: Abstract. An estimation procedure for multiple autoregressive‐moving average models is suggested which takes advantage of the possibility of transferring these multiple models to univariate periodic autoregressive‐moving average models. The procedure is simple enough to be practicable using less efficient computers and it should give acceptable estimates for longer time series. By using this method for shorter time series, the obtained estimates may serve as the initial estimates for more complicated estimation procedures.

Date: 1987
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