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KALMAN-TYPE RECURSIONS FOR TIME-VARYING ARMA MODELS AND THEIR IMPLICATION FOR LEAST SQUARES PROCEDURE
Kalman-type recursions least squares procedure state-space representations time-varying ARMA models
2009/9/18
This paper is devoted to ARMA models with timedependent
coefficients, including well-known periodic ARMA models. We
provide state-space representations and Kalman-type recursions to derive a
Wold–C...
Estimation of AR and ARMA models by stochastic complexity
minimum description length principle Fisher information normalized maximum likelihood universal model Monte Carlo technique
2010/4/27
In this paper the stochastic complexity criterion is applied to estimation
of the order in AR and ARMA models. The power of the criterion
for short strings is illustrated by simulations. It requires...