On a method of estimating parameters in non-negative ARMA models

被引：0
|
作者：
Zichova, J
机构：
来源：
KYBERNETIKA | 1996年 / 32卷 / 04期
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D O I：
暂无
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
The purpose of this paper is to introduce a method of estimating parameters in nonnegative ARMA processes. The method is a generalization of the procedures which were derived for autoregressive and moving-average processes. The estimates are constructed in the form of minima of certain fractions or some functions of these minima. A theorem concerning the strong consistence of these estimates is proved and its applications to the models ARMA(1,1), ARMA(2,1) and ARMA(p,1), p > 2 are demonstrated.
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页码：409 / 424
页数：16
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