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Journal of Time Series Analysis
Volumn 17, Issue 4, 1996, Pages 333-349
Recursive computation of the parameters of periodic autoregressive moving-average processes
Author keywords

Order determination; Periodic ARMA process; Periodically correlated process; Recursive computation of parameters
Indexed keywords

EID: 2342638450     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1996.tb00281.x     Document Type: Article
Times cited : (12)
References (13)
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    • (1994) Periodically Correlated Sequences: Some Properties and Recursions
  • 3
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    • Estimation in multiple autoregressive moving average models using periodicity
    • CIPRA, T. and TLUSTY, P. (1987) Estimation in multiple autoregressive moving average models using periodicity. J. Time Ser. Ann. Appl. 8, 293-300.
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  • 5
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    • FRANKE, J. (1985) A Levinson-Durbin recursion for ARMA processes. Biometrika 72, 573-81.
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    • Franke, J.1
  • 6
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    • Periodically correlated random sequences
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    • (1961) Soviet Math. , vol.2 , pp. 385-388
    • Gladishev, E.G.1
  • 8
    • 0000908767 scopus 로고
    • Multivariate linear time series models
    • _ and KAVALIERIS, L. (1984) Multivariate linear time series models. Adv. Appl. Probab. 16, 492-561.
    • (1984) Adv. Appl. Probab. , vol.16 , pp. 492-561
    • Kavalieris, L.1
  • 9
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    • Regression, autoregression models
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  • 10
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    • Recursive estimation of ARMA order
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  • 11
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    • An algorithm for the exact likelihood of periodic autoregressive moving average models
    • LI, W. K. and HUI, Y. V. (1988) An algorithm for the exact likelihood of periodic autoregressive moving average models. Commun. Stat. Simul. Comp. 17, 1483-94.
    • (1988) Commun. Stat. Simul. Comp. , vol.17 , pp. 1483-1494
    • Li, W.K.1    Hui, Y.V.2
  • 12
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    • Circular lattice filtering using Pagano's method
    • SAKAI, H. (1982) Circular lattice filtering using Pagano's method. IEEE Trans. Acoust. Speech Signal Process. 30, 279-87.
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  • 13
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    • On the fitting of multivariate autoregressions and the approximate factorization of a spectral density matrix
    • WHITTLE, P. (1963) On the fitting of multivariate autoregressions and the approximate factorization of a spectral density matrix. Biometrika 50, 129-34.
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.