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Matematicheskie Zametki, 2008, Volume 83, Issue 4, Pages 552–558
DOI: https://doi.org/10.4213/mzm4575 (Mi mzm4575) 		 
This article is cited in 8 scientific papers (total in 8 papers)

Statistical Analysis of First-Order MARMA Processes

A. V. Lebedev

M. V. Lomonosov Moscow State University
Full-text PDF (430 kB) Citations (8)
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DOI: https://doi.org/10.4213/mzm4575
Abstract: In this paper, we consider processes of the MARMA type that can be derived from the classical ARMA processes by replacing summation by the maximum operation. It is assumed that the innovations and the values of the process have the standard Fréchet distribution. For simple MARMA processes of first order, certain numerical characteristics are calculated. Sign tests and rank statistical methods for parameter estimation are developed. The characterization relations that can be used for the identification of models are justified.
Keywords: MARMA and ARMA processes, moving maximum, sign test, rank test, estimation of parameters, random variable, Fréchet distribution, Pearson correlation coefficient.
Received: 20.03.2007
English version:
Mathematical Notes, 2008, Volume 83, Issue 4, Pages 506–511
DOI: https://doi.org/10.1134/S0001434608030243
Bibliographic databases:
UDC: 519.246
Language: Russian
Citation: A. V. Lebedev, “Statistical Analysis of First-Order MARMA Processes”, Mat. Zametki, 83:4 (2008), 552–558; Math. Notes, 83:4 (2008), 506–511
Citation in format AMSBIB
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    • This publication is cited in the following 8 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Математические заметки Mathematical Notes
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