PARAMETER-ESTIMATION FOR ARMA PROCESSES WITH ERRORS IN MODELS

被引：5

作者：

CHEN, HF ^{[1
]}

DENIAU, C ^{[1
]}

机构：

[1] FAC SCI MARSEILLE,DEPT MATH,CASE 901,163 AV LUMINY,F-13288 MARSEILLE 9,FRANCE

来源：

STATISTICS & PROBABILITY LETTERS | 1994年 / 20卷 / 02期

关键词：

D O I：

10.1016/0167-7152(94)90023-X

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The data {y(n)} are fit by the ARMA process with possible model errors {epsilon(n)}:A(z) y(n) = C(z) w(n) + epsilon(n) where {w(n), F(n)} is a martingale difference sequence. The recursive ELS algorithm is used to estimate unknown coefficients of A (z) and C(z). It is shown that the convergence rate of the estimate is [GRAPHICS] and hence the estimate is strongly consistent if SIGMA(i=0)n \\epsilon(i)\\2 = o(n).

引用

页码：91 / 99

页数：9

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