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A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL
Journal of Time Series Analysis, 1987Abstract. We have shown that it is not always possible to embed a real‐valued discrete parameter Gaussian AR(1) model in a real‐valued continuous parameter Gaussian AR(1). The problem with general ARMA models is also discussed.
Chan, K. S., Tong, H.
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Journal of Time Series Analysis, 1984
Abstract.This paper considers the class of ARMA models with ARCH errors. Maximum Likelihood and Least Squares estimates of the parameters of the model and their covariance matrices are noted and incorporated into techniques for model building based upon the application of the usual Box‐Jenkins methodology of identification, estimation and diagnostic ...
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Abstract.This paper considers the class of ARMA models with ARCH errors. Maximum Likelihood and Least Squares estimates of the parameters of the model and their covariance matrices are noted and incorporated into techniques for model building based upon the application of the usual Box‐Jenkins methodology of identification, estimation and diagnostic ...
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ARMA MODELLING WITH NON‐GAUSSIAN INNOVATIONS
Journal of Time Series Analysis, 1988Abstract.The problem of modelling time series driven by non‐Gaussian innovations is considered. The asymptotic normality of the maximum likelihood estimator is established under some general conditions. The distribution of the residual autocorrelations is also obtained. This gives rise to a potentially useful goodness‐of‐fit statistic.
McLeod, AI, Li, WK
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The quality of models for ARMA processes
IEEE Transactions on Signal Processing, 1998The model error (ME) is an objective measure for assessing the quality of different models of a given ARMA process. The expression for ME can be evaluated easily in the time domain. This quality measure for known and given processes is necessary for an objective comparison of the performance of estimation algorithms and of order selection criteria.
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AR and ARMA model order selection for time-series modeling with ImageNet classification
Signal Processing, 2021Jihye Moon +2 more
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Space-Time ARMA Modeling With Contemporaneously Correlated Innovations
Technometrics, 1981Stuart Jay Deutsch, Phillip E Pfeifer
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