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Parameter estimation of an autoregressive moving average model

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Summary

An estimator of the set of parameters of an autoregressive moving average model is obtained by applying the method of least squares to the log smoothed periodogram. It is shown to be asymptotically efficient and normally distributed under the normality and the circular condition of the generating process. A computational procedure is constructed by the Newton-Raphson method. Several computer simulation results are given to demonstrate the usefulness of the present procedure.

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Authors and Affiliations

  1. Technical College of the University of Tokushima, Tokushima, Japan

    Junji Nakano

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  1. Junji Nakano
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Nakano, J. Parameter estimation of an autoregressive moving average model. Ann Inst Stat Math 34, 83–90 (1982). https://doi.org/10.1007/BF02481009

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  • DOI: https://doi.org/10.1007/BF02481009

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