Kybernetika 32 no. 4, 409-424, 1996

On a method of estimating parameters in non-negative ARMA models

Jitka Zichová

Abstract:

The purpose of this paper is to introduce a method of estimating parameters in non-negative ARMA processes. The method is a generalization of the procedures which were derived for autoregressive and moving-average processes. The estimates are constructed in the form of minima of certain fractions or some functions of these minima. A theorem concerning the strong consistence of these estimates is proved and its applications to the models ARMA(1,1), ARMA(2,1) and ARMA(p,1), p>2 are demonstrated.

Classification:

62F12, 62M09, 62M10