论文信息 - PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS

PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS

. 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.

Graham C. Goodwin | G. J. Adams | G. Goodwin

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