One New Method on ARMA Model Parameters Estimation

Xiaoqin Cao, Rui Shan, Jing Fan, Peiliang Li

Abstract


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The estimation of ARMA model parameters really belongs to the least-square problem,in ARMA model because the residual are calculated by given time series,the time series and parameter are nonlinear.However it is difficult to calculate the derivative of objective function.This paper substitutes derivative with difference,then calculate the first derivative and the second derivative of objective function.Finally we prove that, under suitable hypotheses, the proposed algorithm converges globally.


Full Text: PDF DOI: 10.5539/mas.v3n5p204

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Modern Applied Science   ISSN 1913-1844 (Print)   ISSN 1913-1852 (Online)

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