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PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
Author(s) -
Adams G. J.,
Goodwin G. C.
Publication year - 1995
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.1467-9892.1995.tb00226.x
Subject(s) - autoregressive–moving average model , mathematics , autoregressive model , estimation , estimation theory , series (stratigraphy) , moving average , time series , autoregressive integrated moving average , statistics , paleontology , management , biology , economics
. In time series analysis of data sequences, the estimation of the parameters of an identified autoregressive moving‐average (ARMA) model is a well‐known and straightforward exercise. However, if the parameters of the model are periodic (i.e. a periodic ARMA (PARMA) model) then the estimation process becomes more difficult. This paper describes an on‐line parameter estimation technique, based on methods from automatic control, which is demonstrated to provide consistent estimates of PARMA model parameters.