Identification of ARMA models using Pade approximation

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Abstract

A new method based on the theory of Pade approximation has been introduced for the identification of ARMA models. In this method the estimates obtained by fitting an infinite AR model (or infinite MA model) are used to construct the so-called C-table which clearly depicts the order of an ARMA (p,q) models. Another advantage of this method is that we can simultaneously get estimates of the parameter of the identified model. Simulation results and results obtained from applying the method to real data sets substantiate our claim for using this method.
Original languageEnglish
Pages (from-to)377-389
Number of pages13
JournalBulletin of the International Statistical Institute
VolumeLII
Issue number2
Publication statusPublished - 1987

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ARMA Model
Padé Approximation
AR Model
Autoregressive Moving Average
Estimate
Table
Model
Simulation

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title = "Identification of ARMA models using Pade approximation",
abstract = "A new method based on the theory of Pade approximation has been introduced for the identification of ARMA models. In this method the estimates obtained by fitting an infinite AR model (or infinite MA model) are used to construct the so-called C-table which clearly depicts the order of an ARMA (p,q) models. Another advantage of this method is that we can simultaneously get estimates of the parameter of the identified model. Simulation results and results obtained from applying the method to real data sets substantiate our claim for using this method.",
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year = "1987",
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Identification of ARMA models using Pade approximation. / Kumar, Kuldeep.

In: Bulletin of the International Statistical Institute, Vol. LII, No. 2, 1987, p. 377-389.

Research output: Contribution to journalArticleResearchpeer-review

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N2 - A new method based on the theory of Pade approximation has been introduced for the identification of ARMA models. In this method the estimates obtained by fitting an infinite AR model (or infinite MA model) are used to construct the so-called C-table which clearly depicts the order of an ARMA (p,q) models. Another advantage of this method is that we can simultaneously get estimates of the parameter of the identified model. Simulation results and results obtained from applying the method to real data sets substantiate our claim for using this method.

AB - A new method based on the theory of Pade approximation has been introduced for the identification of ARMA models. In this method the estimates obtained by fitting an infinite AR model (or infinite MA model) are used to construct the so-called C-table which clearly depicts the order of an ARMA (p,q) models. Another advantage of this method is that we can simultaneously get estimates of the parameter of the identified model. Simulation results and results obtained from applying the method to real data sets substantiate our claim for using this method.

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JO - Bulletin of the International Statistical Institute

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