ARMA Time Series Modeling: an Effective Method

The ability to generate rational models of time series plays an important role in such applications as adaptive filtering, spectral estimation, digital control, array processing, and forecasting. A method for effecting an autoregressive moving average (ARMA) model estimate is presented which possesses a number of admirable properties: 1) it has an elegant algebraic structure, 2) its modeling performance in spectral estimation applications has been empirically found to typically exceed that of such contemporary techniques as the periodogram, the Burg method, and the Box-Jenkins method on a variety of problems, 3) it is implementable by computationally efficient algorithms, and 4) it is based on pseudomaximum likelihood concepts. Taken in combination, these properties mark this method as being an effective tool in challenging applications requiring high modeling performance in a real time setting.

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