Results 231 to 240 of about 50,581 (277)

Spectral estimation of ARMA processes using ARMA-cepstrum recursion

IEEE Signal Processing Letters, 2000
In this letter, the spectral estimation problem of a stationary autoregressive moving average (ARMA) process is considered, and a new method for the estimation of the MA part is proposed. A simple recursion relating the ARMA parameters and the cepstral coefficients of an ARMA process is derived and utilized for the estimation of the MA parameters.
Ali Kaderli, A. Salim Kayhan
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A metric for ARMA processes

IEEE Transactions on Signal Processing, 2000
Summary: Autoregressive-moving-average (ARMA) models seek to express a system function of a discretely sampled process as a rational function in the \(z\)-domain. Treating an ARMA model as a complex rational function, we discuss a metric defined on the set of complex rational functions.
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Deterministic ARMA Models

1986
This paper deals with the ubiquitous class of linear time-invariant finite dimensional systems. In [1] it has been shown that this is precisely the class of AR systems, that is, the dynamical systems whose behavior is governed by a finite set of autoregressive relations.
NIEUWENHUIS, JW, WILLEMS, JC
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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.
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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.
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ARMA Model and Wavelet-Based ARMA Model Application

Applied Mechanics and Materials, 2011
This article discusses some of the linear regression model from the modeling theory, focusing on the modeling method of selecting the optimal model, choose the best bandwidth criteria. Then, given some of the partial linear regression model from the estimates and the partial residual nuclear smooth estimates, and estimate the model using the partial ...
Wei Wei, Hao Ma
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On Estimating the Order of an ARMA Process

IFAC Proceedings Volumes, 1987
In this brief paper the author describes an order determination test for ARMA processes using matrix perturbation theory. The test requires the selection of the significance level on subjective grounds. The test is numerically simple, and the results are reported as good.
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On the maximal entropy property for ARMA processes and ARMA approximation

Advances in Applied Probability, 1990
The existence and properties of a general ARMA ( p, q ) process, whose autocovariances, up to lag p , and impulse coefficients, up to lag q, coincide with some given values, are shown.
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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.
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Forecasting Short Term Interest Rates Using ARMA, ARMA-GARCH and ARMA-EGARCH Models

SSRN Electronic Journal, 2006
Forecasting interest rates is of great concern for financial researchers, economists and players in the fixed income markets. The purpose of this study is to develop an appropriate model for forecasting the short-term interest rates i.e., commercial paper rate, implicit yield on 91 day treasury bill, overnight MIBOR rate and call money rate.
S. Radha, Thenmozhi M.
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