Results 221 to 230 of about 10,065 (268)

The Misspecification of Arma Models

Statistica Neerlandica, 1989
The object of this paper is to assess the effects of fitting a model of the wrong order to a time series which is generated by an autoregressive moving–average process. The method is to examine the spectral density functions which are indicated by the probability limits of the least–squares estimators of the misspecified models.
openaire   +2 more sources

ARMA-models and their equivalences

International Journal of Control, 2009
The classical theory of ‘strict system equivalence’ of Rosenbrock and Fuhrmann is presented in a very general setting, namely, in the setting of ARMA-models defined over an arbitrary commutative ring.
openaire   +1 more source

ARMA Modeling of Time Series

IEEE Transactions on Pattern Analysis and Machine Intelligence, 1982
A method for efficiently generating a rational model of a wide-sense stationary time series is presented. In this method the autoregressive parameters associated with an ARMA model consisting of q zeros and p poles are optimally chosen with the selection being based on a finite set of time series observations.
openaire   +3 more sources

ON EMBEDDING A DISCRETE‐PARAMETER ARMA MODEL IN A CONTINUOUS‐PARAMETER ARMA MODEL

Journal of Time Series Analysis, 1989
Abstract. It is shown that a real‐valued discrete‐parameter Gaussian ARMA (p. q) model with q < p can be embedded in a real‐valued continuous‐parameter Gaussian ARMA(p', q') model with q' < p'. The problem of embedding a real‐valued discrete‐parameter Gaussian AR(p) into a real‐valued continuous‐parameter Gaussian AR(p) is also discussed.
He, S. W., Wang, J. G.
openaire   +2 more sources

Nonlinear H-ARMA models

Proceedings of the 1998 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP '98 (Cat. No.98CH36181), 2002
We present some aspects of non-Gaussian H-ARMA models. After recalling that an H-ARMA process is obtained by passing an ARMA process through a Hermite polynomial nonlinearity, we describe the theoretical analysis of their cumulants and cumulant spectra. The main advantage of this kind of model is that the cumulant structure of the output can be deduced
David Declercq, Patrick Duvaut
openaire   +1 more source

Testing a linear ARMA model against threshold-ARMA models: A Bayesian approach

Communications in Statistics Part B: Simulation and Computation, 2017
We introduce a Bayesian approach to test linear autoregressive moving-average (ARMA) models against threshold autoregressive moving-average (TARMA) models. Firstly, the marginal posterior densities of all parameters, including the threshold and delay, of
Rubing Liang, Qiang Xia, Jiazhu Pan
exaly   +1 more source

A recursive procedure for ARMA modeling

IEEE Transactions on Acoustics, Speech, and Signal Processing, 1985
This paper presents a two-part fast recursive algorithm for ARMA modeling. The algorithm first obtains estimates of the p autoregressive coefficients from a set of p extended Yule-Walker equations. An exact recursive lattice algorithm for this estimator is then derived.
Randolph L. Moses, James A. Cadzow, A. A. (Louis) Beex   +2 more
openaire   +2 more sources

ARMA Model for Revenue Prediction

Proceedings of the 11th International Conference on Advances in Information Technology, 2020
For every country in over the world, tax revenues appear to be the main engines contributing to the growth momentum. The prediction of tax revenues is one of the main challenges of the Myanmar Internal Revenue Department. It is not easy to get an accurate prediction of the tax revenues of the coming financial year.
Thura Zaw, Swe Swe Kyaw, Aung Nway Oo
openaire   +1 more source

Arma models with bilinear innovations

Communications in Statistics. Stochastic Models, 1999
Summary: It is well known that any purely non-deterministic stationary process \((X_t)\) with finite variance can be written as an infinite moving average in terms of its innovation process. This property is widely used in the linear methods of estimation and prediction of time series but these methods may give poor results when the innovations are not
openaire   +2 more sources

ESTIMATION OF SPATIAL ARMA MODELS

Australian Journal of Statistics, 1992
SummarySpatial ARMA models are considered using the nonsymmetric half plane ordering on a lattice of data. A method is given for the estimation of the orders and the coefficients of such models under an identifiability condition and the condition that the beat linear predictor is the best predictor in the mean square sense.
Huang, D., Anh, V. V.
openaire   +2 more sources