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One New Method on ARMA Model Parameters Estimation

Author

Listed:
  • Xiaoqin Cao
  • Rui Shan
  • Jing Fan
  • Peiliang Li

Abstract

The estimation of ARMA model parameters really belongs to the least-square problem,in ARMA model because the residual are calculated by given time series,the time series and parameter are nonlinear.However it is difficult to calculate the derivative of objective function.This paper substitutes derivative with difference,then calculate the first derivative and the second derivative of objective function.Finally we prove that, under suitable hypotheses, the proposed algorithm converges globally.

Suggested Citation

  • Xiaoqin Cao & Rui Shan & Jing Fan & Peiliang Li, 2009. "One New Method on ARMA Model Parameters Estimation," Modern Applied Science, Canadian Center of Science and Education, vol. 3(5), pages 204-204, May.
    • Handle: RePEc:ibn:masjnl:v:3:y:2009:i:5:p:204
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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