Journal of Time Series Analysis · 1990 · 75 citations · 9 references
BusinessBusiness EconomicsEconometricsStatistical ModelingTime Series AnalysisGeneralized Linear ModelsTime Series EconometricsTime Series ModelingArima ModelsAutoregressive ModelsAutoregressive Moving Average ModelsMaximum Likelihood InferenceMoving Average Models
Abstract. In this paper we present a generalized least‐squares approach for estimating autoregressive moving‐average (ARMA) models. Simulation results based on different model structures with varying numbers of observations are used to contrast the performance of our procedure with that of maximum likelihood estimates. Existing software packages can be utilized to derive these estimates.
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