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THE ESTIMATION OF PARAMETERS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS |
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| Authors: | Pham Dinh Tuan |
| Affiliation: | Laboratoire IMAG, Universitéde Grenoble |
| Abstract: | Abstract. This paper provides some new and improved versions of an earlier procedure for the estimation of parameters for autoregressive moving average models suggested by the author (1979). Some numerical examples of the application of the procedure are also given. |
| Keywords: | Autoregressive moving average model information matrix maximum likelihood estimation moving average model fixed point iteration sample autocovariances |