Kalman-type recursions for time-varying arma models and their implication for least squares procedure

• Autorzy: Gautier A.
• Języki publikacji: EN

Abstrakty

EN

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–Cramér decomposition for the least squares residuals. This decomposition turns out to be very convenient for further developments related to parameter least squares estimation. Some examples are proposed to illustrate the main purpose of these state-space forms.

Słowa kluczowe

EN

Kalman-type recursions; least squares procedure; state-space representation; time-varying ARMA models; Wold–Cramér decomposition

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2009
• Tom: Vol. 29, Fasc. 1
• Strony: 169--180
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Gautier A.

• Université Lille 3, Laboratoire EQUIPPE, BP 60149, 59653 Villeneuve d’Ascq Cedex, France

Bibliografia

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