Abstract
A new method for estimation of ARMA model parameters is considered. A recursive version of Gauss-Markov estimate based on computation of covariance matrix elements is developed. The method uses special features of the covariance matrix. Three versions of estimators are obtained depending on the method of estimation of covariance matrix elements. Extensive simulations are made and the results of the estimation by the proposed method are compared with these ones of least squares, generalized least squares and instrumental variable methods. The results obtained by use of the new algorithm are comparable or better than these ones obtained by the existing methods.
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