Padé approximation and its application in time series analysis

摘要

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 Padé 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.