Parameter estimation of ARMA models using a computationally efficient maximum likelihood technique

Sarris, Alexander H.; Eisner, Mark

doi:10.1109/cdc.1973.269239

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Lines Of Convergence1

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1977

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“…A number of recent state of the art papers have urged that greater attention be given to error processes (Dhrymes, et al, 1972;Klein, 1971) and work on the specification and estimation of more complex disturbance models in the structural context is beginning to appear with regularity in the technical literature. (See, for example, Chow and Fair, 1973;Fair, 1970Fair, , 1973Hannan and Nichols, 1972;Hibbs, 1974;Sarris and Eisner, 1974;and Schmidt, 1971.) As I have tried to show in an earlier paper (Hibbs, 1974), Box-Jenkins techniques are ideally suited to the characterization of structural disturbance processes, which, after all, represent our ignorance.…”

Section: Lines Of Convergencementioning

confidence: 99%