A method to estimate the parameters of an ARMA model
- 1 December 1987
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 32 (12) , 1113-1115
- https://doi.org/10.1109/tac.1987.1104521
Abstract
A method of estimating the parameters of an ARMA model is proposed. In the transient case, we show that the formulas recently given by Li and Dickinson [7] for the AR parameters are easily obtained by considering the formulation of the one-step predictor. In the steady-state case, we can get separately the AR parameters and the MA ones.Keywords
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