Abstract
The aim of this paper is to present some remarks about the parametrization of multivariable ARMA models. First a canonical state-space model is introduced, displaying two different kinds of parameters. Then parameters of the stochastic part of the model are estimated by fast filtering algorithms. Finally a method is given to derive explicitely all sets of stochastic parameters leading to equivalent wide sense time series.
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© 1983 D. Reidel Publishing Company
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Alengrin, G. (1983). Estimation of Stochastic Parameters for ARMA Models by Fast Filtering Algorithms. In: Bucy, R.S., Moura, J.M.F. (eds) Nonlinear Stochastic Problems. NATO ASI Series, vol 104. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-7142-4_6
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DOI: https://doi.org/10.1007/978-94-009-7142-4_6
Publisher Name: Springer, Dordrecht
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