New approximation for ARMA parameters estimate

Y. Boularouk and K. Djeddour

Mathematics and Computers in Simulation (MATCOM), 2015, vol. 118, issue C, 116-122

Abstract: This paper presents a new approach for the optimization of autoregressive moving average parameters estimation. We prove that the log likelihood function of the process is almost surely equal to a polynomial of order two. Thereafter, using the methods of least squares, our function will be approximated by a polynomial of order two which will be used to calculate an estimation of the maximum.

Keywords: ARMA process; Likelihood function; Innovation algorithm; Multivariate least squares (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:118:y:2015:i:c:p:116-122

DOI: 10.1016/j.matcom.2015.01.004

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