Rollage: Efficient Rolling Average Algorithm to Estimate ARMA Models for Big Time Series Data
Rollage:面向大型时间序列的 ARMA 模型滚动平均估计算法
We develop a new efficient algorithm for the analysis of large-scale time series data. We firstly define rolling averages, derive their analytical properties, and establish their asymptotic distribution. These theoretical results are subsequently exploited to develop an efficient algorithm, called Rollage, for fitting an appropriate AR model to big time series data. When used in conjunction with the Durbin's algorithm, we show that the Rollage algorithm can be used as a…