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自回归移动平均模型马尔可夫表示的参数估计AI 解读

Tuan (1978) discussed the approximate maximum likelihood estimation of the parameters of the Markovian representation of the autoregressive-moving average model. He considered an indirect method, using the equivalent quasiautoregressive moving average form, the parameters of which are in one to one correspondence with those of the Markovian representation. A method of finding exact joint maximum likelihood estimates of the parameters and the initial state of the process is…

自回归移动平均模型马尔可夫表示的参数估计AI 解读

Tuan (1978) discussed the approximate maximum likelihood estimation of the parameters of the Markovian representation of the autoregressive-moving average model. He considered an indirect method, using the equivalent quasiautoregressive moving average form, the parameters of which are in one to one correspondence with those of the Markovian representation. A method of finding exact joint maximum likelihood estimates of the parameters and the initial state of the process is…

关于ARMA过程参数估计及Akaike、Hannan估计程序的札记AI 解读

Patterson & Thompson (1971) have described a modified maximum likelihood technique for estimating variance components in the additive mixed model. We consider the use of this method in estimating the parameters of the autoregressive-moving average model, and examine its performance relative to some established techniques for 200 simulations of a firstorder moving average process.