Identification of Multivariate ARMA-Type Models
نویسندگان
چکیده
منابع مشابه
Optimal Estimation of Multivariate ARMA Models
Autoregressive moving average (ARMA) models are a fundamental tool in time series analysis that offer intuitive modeling capability and efficient predictors. Unfortunately, the lack of globally optimal parameter estimation strategies for these models remains a problem: application studies often adopt the simpler autoregressive model that can be easily estimated by maximizing (a posteriori) like...
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ژورنال
عنوان ژورنال: Transactions of the Society of Instrument and Control Engineers
سال: 1980
ISSN: 0453-4654
DOI: 10.9746/sicetr1965.16.812