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Estimation for the autoregressive moving average process observed with noise

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SUMMARY The autoregressive moving average process ARMA p,q observed with noise has another ARMA p,k representation, where k max p,q . Parameters for the ARMA p,k representation satisfy some non-linear restrictions. We develop restricted Newton-Raphson estimators of the ARMA p,k process which takes advantage of the information given in the non-linear restrictions. The asymptotic relative efficiency of the estimators indicates that the proposed restricted Newton-Raphson estimator is more efficient than the unrestricted Newton-Raphson estimator. In a Monte Carlo experiment, the proposed estimator is shown to perform better than the unrestricted estimator of the ARMA p,k process.
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Document Type: Research Article

Publication date: December 1, 1996

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