Pade approximation and its application in time series analysis

by: Kuldeep Kumar

Applied Mathematics and Computation, Vol. 48, No. 2-3. (April 1992), pp. 139-151.

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Abstract

Since the appearance in 1970 of the book by Box and Jenkins, the use of the auto regressive-moving average (ARMA) model has become widespread in many fields for the analysis and prediction of time series data. However, one of the main criticisms of these ARMA models is that they are difficult to specify. In this paper we have proposed a new method based on the theory of Pade approximations for the estimation of parameters and specification of the order of ARMA (p,q) models. Simulation results and results obtained from applying this method to real data sets substantiate our claim for using this method.

@article{citeulike:1781114, abstract = {Since the appearance in 1970 of the book by Box and Jenkins, the use of the auto regressive-moving average (ARMA) model has become widespread in many fields for the analysis and prediction of time series data. However, one of the main criticisms of these ARMA models is that they are difficult to specify. In this paper we have proposed a new method based on the theory of Pade approximations for the estimation of parameters and specification of the order of ARMA (p,q) models. Simulation results and results obtained from applying this method to real data sets substantiate our claim for using this method.}, author = {Kumar, Kuldeep }, citeulike-article-id = {1781114}, doi = {10.1016/0096-3003(92)90034-X}, journal = {Applied Mathematics and Computation}, month = {April}, number = {2-3}, pages = {139--151}, posted-at = {2007-10-17 20:23:21}, priority = {2}, title = {Pade approximation and its application in time series analysis}, url = {http://dx.doi.org/10.1016/0096-3003(92)90034-X}, volume = {48}, year = {1992} }

RIS record

TY - JOUR ID - citeulike:1781114 L3 - citeulike-article-id:1781114 TI - Pade approximation and its application in time series analysis JF - Applied Mathematics and Computation VL - 48 IS - 2-3 SP - 139 EP - 151 N2 - Since the appearance in 1970 of the book by Box and Jenkins, the use of the auto regressive-moving average (ARMA) model has become widespread in many fields for the analysis and prediction of time series data. However, one of the main criticisms of these ARMA models is that they are difficult to specify. In this paper we have proposed a new method based on the theory of Pade approximations for the estimation of parameters and specification of the order of ARMA (p,q) models. Simulation results and results obtained from applying this method to real data sets substantiate our claim for using this method. AU - Kumar, Kuldeep PY - 1992/04// UR - http://dx.doi.org/10.1016/0096-3003(92)90034-X ER -

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