Recursive method for ARMA model estimation (II)

In this paper a new recursive method for ARMA model estimation is given. Same as in 1], the order's estimator is strongly consistent, and the pearameter's estimaters defer to CLT and LIL under a natural condition. Compared with the previous methods suggested by Hannan & Kavalieris (1984), Wang Shouren & Chen Zhaoguo (1985) and Franke (1985), this method has some advantages: the amount of calculat on work is smaller, the minimum-phase property of coefficient estimators can be guaranteed, the BAN estimators for MA or AR model can be obtained directly, and the simulation shows that this method is more accurate in estimating the order and parameters.