Method of Moments Estimators for the Moving Average Coefficients in an ARMA (p,q) Process.

Abstract

The standard procedure for computing the moving average method of moments parameter estimates for an ARMA process involves the numerical solution of a system of non-linear equations. In this paper it will be shown how the so-called inverse autocorrelations introduced by Cleveland can be utilized to compute the moving average parameter estimates as the solution to a system of linear equations, and that the method is faster and more accurate than solving the non-linear equations alluded to above. In addition, the procedure described below ensures that an invertible solution is obtained. (Author)

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1982
Accession Number
ADA116943

Entities

People

  • H. L. Gray
  • M. J. Morton

Organizations

  • Southern Methodist University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Autocorrelation
  • Coefficients
  • Computations
  • Data Science
  • Equations
  • Estimators
  • Information Science
  • Iterations
  • Linear Systems
  • Maximum Likelihood Estimation
  • Method Of Moments
  • Nonlinear Systems
  • Standards
  • Statistical Algorithms
  • Statistics
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Finite Element Method (FEM) for solving Partial Differential Equations (PDEs)
  • Statistical inference.