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polynomail
2007 Mar 13
1
estimating an ARIMA model with constraints
Hi,
I am trying to estimate an ARIMA model in the case where I have some
specific knowledge about the coefficients that should be included in the
model. Take a classical ARIMA (or even ARMA) model:
P(B) X(t) = Q(B) epsilon(t),
where X(t) is the data, epsilon is a white noise, B is the backward operator
and P and Q are some polynoms. Additionally, assume that you know in advance
how P and Q