Parameter estimation of time-varying ARMA model

Wen Hua Wang; Li Han; Wen Xing Wang

Parameter estimation of time-varying ARMA model

Wen Hua Wang^*
, Li Han
, Wen Xing Wang

^*Corresponding author for this work

School of Integrated Circuits and Electronics

Beijing Institute of Technology
China University of Mining & Technology, Beijing

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	131-134
Number of pages	4
Journal	Journal of Beijing Institute of Technology (English Edition)
Volume	13
Issue number	2
Publication status	Published - Jun 2004

Keywords

Auto-regressive moving-average (ARMA) model
Basis time-varying function
Feedback linear estimation
Spectral estimation

Cite this

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title = "Parameter estimation of time-varying ARMA model",

abstract = "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.",

keywords = "Auto-regressive moving-average (ARMA) model, Basis time-varying function, Feedback linear estimation, Spectral estimation",

author = "Wang, \{Wen Hua\} and Li Han and Wang, \{Wen Xing\}",

year = "2004",

month = jun,

language = "English",

volume = "13",

pages = "131--134",

journal = "Journal of Beijing Institute of Technology (English Edition)",

issn = "1004-0579",

publisher = "Beijing Institute of Technology",

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T1 - Parameter estimation of time-varying ARMA model

AU - Wang, Wen Hua

AU - Han, Li

AU - Wang, Wen Xing

PY - 2004/6

Y1 - 2004/6

N2 - 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.

AB - 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.

KW - Auto-regressive moving-average (ARMA) model

KW - Basis time-varying function

KW - Feedback linear estimation

KW - Spectral estimation

UR - https://www.scopus.com/pages/publications/4544262883

M3 - Article

AN - SCOPUS:4544262883

SN - 1004-0579

VL - 13

SP - 131

EP - 134

JO - Journal of Beijing Institute of Technology (English Edition)

JF - Journal of Beijing Institute of Technology (English Edition)

IS - 2

ER -

Parameter estimation of time-varying ARMA model

Abstract

Keywords

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