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Identification of an unstable ARMA equation

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  • Yulia R. Gel
  • Vladimir N. Fomin

Abstract

Usually the coefficients in a stochastic time series model are partially or entirely unknown when the realization of the time series is observed. Sometimes the unknown coefficients can be estimated from the realization with the required accuracy. That will eventually allow optimizing the data handling of the stochastic time series. Here it is shown that the recurrent least-squares (LS) procedure provides strongly consistent estimates for a linear autoregressive (AR) equation of infinite order obtained from a minimal phase regressive (ARMA) equation. The LS identification algorithm is accomplished by the Padé approximation used for the estimation of the unknown ARMA parameters.

Suggested Citation

  • Yulia R. Gel & Vladimir N. Fomin, 2001. "Identification of an unstable ARMA equation," Mathematical Problems in Engineering, Hindawi, vol. 7, pages 1-16, January.
    • Handle: RePEc:hin:jnlmpe:546391
    DOI: 10.1155/S1024123X01001557
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