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A NOTE ON ARMA ESTIMATION
Author(s) -
HongZhi An,
ZhaoGuo Chen,
Hannan E. J.
Publication year - 1983
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1983.tb00353.x
Subject(s) - mathematics , rank (graph theory) , estimation , connection (principal bundle) , autoregressive–moving average model , dual (grammatical number) , matrix (chemical analysis) , statistics , combinatorics , autoregressive model , geometry , materials science , management , economics , composite material , art , literature
. 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.