RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
Abstract
Abstract. An algorithm for recursive computation of the parameters of periodic autoregressive moving‐average (ARMA) processes is given. It also provides recursions for stationary multivariate ARMA processes. A procedure for simultaneous estimation of the order and the parameters of a periodic ARMA process is outlined.
Citing Literature
Number of times cited according to CrossRef: 11
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