Parameter estimation of time-varying ARMA model

The auto-regressive moving-average (ARMA) model with time-varying parameters is analyzed. The time-varying parameters are assumed to be a linear combination of a set of basis time-varying functions, and the feedback linear estimation algorithm is used to estimate the time-varying parameters of the ARMA model. This algorithm includes 2 linear least squares estimations and a linear filter. The influence of the order of basis time-varying functions on parameters estimation is analyzed. The method has the advantage of simple, saving computation time and storage space. Theoretical analysis and experimental results show the validity of this method.