On some simple, autoregression-based estimation and identification techniques for ARMA models
基于自回归近似的 ARMA 模型简便估计与识别技术
We examine simple estimators for general ARMA models and a corresponding identification method. Both estimation and identification are based on a matrix formed from the coefficients of an autoregressive approximation to the process of interest. We show that a zero determinant of this matrix is necessary and sufficient for the existence of a common factor in autoregressive and moving average lag polynomials, and therefore for redundant parameters in the model. Simulation…