Multivariate Arma Order Estimation via Multi-model Partition Theory
نویسندگان
چکیده
Multimodel partition theory, introduced by Lainiotis summarizes the parametric model uncertainty into an unknown, finite dimensional parameter vector whose values are assumed to lie within a known set of finite cardinality. It is not restricted to the Gaussian case and it is also applicable to on line/adaptive operation. By applying this method a new computationally efficient order selection criterion for Multivariate ARMA models will be proposed, developed and justified as an extension to the model order selection criterion for MV AR (AutoRegressive) models . Finally it will be shown that the proposed method is also successful in tracking model order changes in real time.
منابع مشابه
Enforcing solvability of a nonlinear matrix equation and estimation of multivariate ARMA time series
The matrix equation X +AX−1AT = B, arising in parameter estimation of certain time series models, is solvable only for certain values of the matrices A,B. We present a numerical method to modify A,B in order to make the matrix equation solvable. Since solvability depends on the location of the eigenvalues of the palindromic matrix polynomial λA+ λB+A , our method works by moving those eigenvalu...
متن کاملMaximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to so-called all-pass models in that it allows for autocorrelation and for more flexible forms of conditional heteroskedasticity. These features may be attractive especially in economic and financial application...
متن کاملEstimation in ARMA models based on signed ranks
In this paper we develop an asymptotic theory for estimation based on signed ranks in the ARMA model when the innovation density is symmetrical. We provide two classes of estimators and we establish their asymptotic normality with the help of the asymptotic properties for serial signed rank statistics. Finally, we compare our procedure to the one of least-squares, and we illustrate the performa...
متن کاملARMA model parameter estimation based on the equivalent MA approach
The paper investigates the relation between the parameters of an autoregressive moving average (ARMA) model and its equivalent moving average (EMA) model. On the basis of this relation, a new method is proposed for determining the ARMA model parameters from the coefficients of a finite-order EMA model. This method is a three-step approach: in the first step, a simple recursion relating the EMA ...
متن کاملOptimal 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...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2007