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ESTIMATION IN MULTIPLE AUTOREGRESSIVE‐MOVING AVERAGE MODELS USING PERIODICITY
Author(s) -
Cipra Tomáš,
Tlustý Pavel
Publication year - 1987
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.1467-9892.1987.tb00441.x
Subject(s) - autoregressive model , univariate , mathematics , autoregressive integrated moving average , series (stratigraphy) , star model , autoregressive–moving average model , estimation , moving average , moving average model , simple (philosophy) , statistics , time series , econometrics , setar , multivariate statistics , paleontology , philosophy , management , epistemology , economics , biology
. 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.