Abstract
In the estimation of rational transfer function models, it has been recommended that starting values of a transfer function component be assumed to be zero (or a constant) in the recursive computation of the transfer function response. It is demonstrated that such algorithms may lead to serious bias in the estimation of moving average parameters. This paper discusses several other algorithms that may rectify this problem. It is found that the starting-value-free (SVF) method is a more reliable algorithm. For computer programs using the traditional algorithm, i.e., the zero-starting-value (ZSV) method, the bias problem can be easily remedied using a short-cut method that omits appropriate number of values at the beginning of the residual series.
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