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PARAMETER ESTIMATION IN EXPONENTIAL MODELS
Author(s) -
Cheng Qiansheng
Publication year - 1991
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.1467-9892.1991.tb00066.x
Subject(s) - mathematics , autoregressive model , exponential function , estimation theory , autocorrelation , rate of convergence , exponential distribution , convergence (economics) , statistics , mathematical analysis , channel (broadcasting) , economic growth , electrical engineering , economics , engineering
. In this paper the problems of parameter estimation and order determination of an exponential (EX) model are studied in the time domain. In order to estimate the parameters, the parameter equations of an EX model are given in terms of the autocorrelation function, which is similar to the Yule‐Walker equations of an autoregressive moving‐average model. Estimates of parameters are obtained with the aid of the parameter equations and theorems are proved relating the convergence rate and asymptotic distribution of the estimates. We present two kinds of methods for estimating the order and prove that the estimates of the order are consistent.