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A Note On Arma Estimation

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  • An Hong‐Zhi
  • Chen Zhao‐Guo
  • E. J. Hannan

Abstract

. The ranks of certain matrices composed of autocovariances of an ARMA process are considered. These matrices arise in connection with initial estimates of the parameters of such a system. Conditions for such matrices to be of full rank are expressed in terms of conditions on a dual time reversed system.

Suggested Citation

  • An Hong‐Zhi & Chen Zhao‐Guo & E. J. Hannan, 1983. "A Note On Arma Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(1), pages 9-17, January.
    • Handle: RePEc:bla:jtsera:v:4:y:1983:i:1:p:9-17
    DOI: 10.1111/j.1467-9892.1983.tb00353.x
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