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《Journal of Qufu Normal University(Natural Science)》 1988-03
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A Fast Identification Method of SISO CARMA Model

Jiang Tao Chu Xue-dao  
This paper abstract presents a fast identification method for SISO CARM -A model. The modified Durbins Algorithm proposed by the auther is employed to fitting CARMA models of different degree in this method. Both the mean-results and statastic-testing are utilized properly.morever the methods for deleting zero parameters described in [3] is improved. So that the structure of CARMA model and the P-Consistent estimate of parameters may be obtained fastly.The effectiveness of this method are illustrated by simulation examples.
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