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On the efficiency of procedures for estimation of parameters in Arima models

  • B. Chandra
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Abstract

The paper discusses the implementation of the Newton-Raphson iterative method of estimation of parameters in the autoregressive integrated moving average (ARIMA) models. The efficiency of this method has been compared with other well known methods of estimation.

Keywords

Initial Estimate Central Processing Unit Final Estimate Grid Method Arima Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

  1. Anderson, T.W. (1977), «Estimation for autoregressive moving average models in the time and frequency domains».The Annals of Statistics, vol. 5, No. 5, 842–865.zbMATHCrossRefMathSciNetGoogle Scholar
  2. Box, G.E.P. yJenkins, G.M. (1976), «Time Series Analysis, Forecasting and Control, Holden Day, San FranciscozbMATHGoogle Scholar
  3. Chandra, B. ySinha, S.M. (1978), «Adaptive forecasting using higher order predictors».Sankhya, vol. 17.Google Scholar
  4. Kawoshima, H. (1978), «parameter estimation of ARIMA processes»,Tenth JAACE Symposium on Stochastic Systems, Kyoto.Google Scholar
  5. Marquardt, D.W. (1963), «And algorithm for least squares estimation of non-linear parameters».Jour. Soc. Ind. Appl. Math.,11, 431.zbMATHCrossRefMathSciNetGoogle Scholar

Copyright information

© Springer 1984

Authors and Affiliations

  • B. Chandra
    • 1
  1. 1.Departament of Mathematics and StatisticsUniversity of PittsburghPittsburghUSA

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