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2016
The specification and estimation of an ARMA(p,q) model for a given realization involves several intermingled steps. First one must determine the orders p and q. Given the orders one can then estimate the parameters ϕ j , \(\theta _{j}\) and \(\sigma ^{2}\).
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The specification and estimation of an ARMA(p,q) model for a given realization involves several intermingled steps. First one must determine the orders p and q. Given the orders one can then estimate the parameters ϕ j , \(\theta _{j}\) and \(\sigma ^{2}\).
openaire +1 more source
Maximum Likelihood Fitting of ARMA Models to Time Series With Missing Observations
Technometrics, 1980Richard H Jones
exaly +2 more sources
Distribution of the Residual Autocorrelations in Multivariate Arma Time Series Models
Journal of the Royal Statistical Society Series B: Methodological, 1981exaly
Bias correction in ARMA models
Statistics and Probability Letters, 1994Gauss Moutinho Cordeiro
exaly
MODWT-ARMA model for time series prediction
Applied Mathematical Modelling, 2014Zhuo-Xu Cui, Yanxin Wang
exaly