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A NOTE ON ARMA ESTIMATION

 

作者: An Hong‐Zhi,   Chen Zhao‐Guo,   E. J. Hannan,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1983）
卷期: Volume 4, issue 1  

页码: 9-17

 

ISSN:0143-9782

 

年代: 1983

 

DOI:10.1111/j.1467-9892.1983.tb00353.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Autoregressive‐moving average process;initial parameter estimates;order;McMillan degree;Kronecker indices;manifold;Hankel matrix

 

数据来源: WILEY

 

摘要:

Abstract.The ranks of certain matrices composed of autocovariances of an ARMA process are considered. These matrices arise in connection with initial estimates of the parameters of such a system. Conditions for such matrices to be of full rank are expressed in terms of conditions on a dual time reversed system.

 

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