The Cholesky Decomposition Algorithm and ARMA Modeling.

Abstract

The history of the use of the Cholesky decomposition in the estimation and prediction of autoregressive moving average time series is reviewed and a modification of Ansley's (1979) estimation method is suggested. This modification is motivated by the results of Newton and Pagano (1981) in prediction theory and results in a significant reduction in the calculations required to evaluate the exact likelihood. It is also shown how the modified method can be used to obtain predictors and prediction variances. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1981
Accession Number
ADA116249

Entities

People

  • H. Joseph Newton
  • Marcello Pagano

Organizations

  • Texas A&M University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Computations
  • Covariance
  • Data Analysis
  • Data Mining
  • Data Science
  • Decomposition
  • Estimators
  • Information Science
  • Kalman Filtering
  • Kalman Filters
  • Military Research
  • Random Variables
  • Statistical Algorithms
  • Statistics
  • Stochastic Processes
  • Universities

Fields of Study

  • Mathematics

Readers

  • Computational Modeling and Simulation
  • Operations Research
  • Statistical inference.