An improvement of a batch algorithm for parameter estimation of an ARMA process is presented. A fast and iterative algorithm is presented, and provides estimates with the same asymptotic distribution as the maximum likelihood estimates. This algorithm is a modified version of the method suggested by Mayne and Firoozan [(1982). Linear identification of ARMA processes. Automatica, 18, 461-466] and requires one less regression than the previous method, if only one pass is executed.
['Jacques Kiseta Sabiti']
A fast estimation method for ARMA processes