Journal of the American Statistical Association volume 83, issue 402, P490-498 1988 DOI: 10.1080/01621459.1988.10478622 View full text
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E. J. Hannan, A. J. McDougall

Abstract: Regression procedures for parameter estimation in autoregression moving average (ARMA) models are discussed, mainly for providing initial estimates for iterative maximization of a Gaussian likelihood. An iterative procedure of Spliid (1983) is compared to a procedure of Hannan and Rissanen (1982), and a global convergence result is established for an iterative modification of Spliid's procedure. Spliid's iteration does not always converge; when it does, it has the same asymptotic distribution as the second st…

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