Estimation of ARIMA Model Coefficients

For a given ARIMA model, Predictor uses the unconditional least square method to estimate model coefficients. Instead of using matrix algebra, a simpler iterative scheme is used.



1 Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. Time Series Analysis: Forecasting and Control. 4th ed. Hoboken, NJ: John Wiley & Sons. 2008.