Abstract
Akaike (1974) has shown that any autoregressive-moving average process admits a Markovian representation and conversely. There is a one-to-one correspondence between each autoregressive-moving average process and a member of a class of ‘special’ Markovian representations. Here we shall associate each of the above special representations with a uniquely defined ‘quasiautoregressive-moving average’ representation and we shall estimate the parameters involved by a technique quite similar to that for estimation of the parameters of the autoregressive-moving average process. Our method has the advantage of eliminating the difficult identifiability problem.
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