Title: Fast filtering for seasonal moving average models
Abstract:Pearlman (1980) gives a fast filtering algorithm for an ARMA, i.e. autoregressive-moving average, model. When the algorithm is applied to a seasonal moving average model significant computational savi...Pearlman (1980) gives a fast filtering algorithm for an ARMA, i.e. autoregressive-moving average, model. When the algorithm is applied to a seasonal moving average model significant computational savings can be obtained by taking advantage of the structural zeros noted by Kohn & Ansley (1984) and Melard (1984). In this paper we identify a second set of structural zeros which leads to further significant computational savings. Our results can be applied to produce a fast algorithm for obtaining the likelihood of a stationary ARMA model with a seasonal moving average.Read More
Publication Year: 1986
Publication Date: 1986-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 1
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