Journal of Time Series Analysis

RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES

Journal Article

Abstract. An algorithm for recursive computation of the parameters of periodic autoregressive moving‐average (ARMA) processes is given. It also provides recursions for stationary multivariate ARMA processes. A procedure for simultaneous estimation of the order and the parameters of a periodic ARMA process is outlined.

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