ARMA coefficients

Asked Jun 30 '16 at 07:10

Active Jun 30 '16 at 08:30

Viewed 672 times

How to determine the ARMA coefficients for ARMA(p,q)?

I explored a lot of technical literature and I understand there are standard rules like Yule-Walker for a pure AR process.

Do they apply for ARMA processes too? If yes, then I know how to apply it and solve part of the problem.

How to determine the MA coefficients of ARMA: are there generic equations?

edited Jun 30 '16 at 08:30

Nick Cox

asked Jun 30 '16 at 07:10

1

Take a look at Hamilton "Time Series Analysis". He discusses estimating AR, MA and ARMA models using maximum likelihood estimation in Chapter 5. Sections 5.4-5.7 should be particularly useful. – Richard Hardy Jul 09 '16 at 11:17
1

See also this thread: "ARIMA estimation by hand". – Richard Hardy Jul 09 '16 at 11:29

0 Answers0