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Transfer Function Model Order And Parameter Estimation

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  • Keh‐Shin Lii

Abstract

. A distributed lag model with a rational transfer function is considered. We have demonstrated that the C‐table can be used to determine the orders of the rational transfer function and the Padé table can be used to estimate the parameters of an identifiable transfer function. In case the model is not uniquely identified, the C‐table reduces possible competing models to only a few for further examination. Padé approximant gives consistent initial values for possibly more efficient iterative procedures to estimate the coefficients of the identified model. Some asymptotic results on the estimation of the C‐table and the Padé table are given. A few examples are presented to demonstrate the effectiveness of the method.

Suggested Citation

  • Keh‐Shin Lii, 1985. "Transfer Function Model Order And Parameter Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(3), pages 153-169, May.
    • Handle: RePEc:bla:jtsera:v:6:y:1985:i:3:p:153-169
    DOI: 10.1111/j.1467-9892.1985.tb00406.x
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    Cited by:

    1. Chan, Wai-Sum, 1999. "A comparison of some of pattern identification methods for order determination of mixed ARMA models," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 69-79, March.
    2. Gil Fariña, Mª Candelaria & González Concepción, Concepción, 1997. "Modelización racional de series temporales no causales: algunas propuestas de caracterización dinámica," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 8, pages 77-107, Diciembre.
    3. María Gil Fariña & Rosa Lorenzo Alegría, 1999. "An application of padé approximation to volatility modeling," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 5(4), pages 446-465, November.

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