Summary We shall present a practical iterative method for estimating parameters in mixed autoregressive moving-average models for multivariate stationary time series. This method essentially generalizes that of Marquardt (1963) as applied by Box and Jenkins (1970) to univariate time series. We shall investigate the statistical properties of the method in order to demonstrate desirable convergence behaviour.
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G. Tunnicliffe Wilson (1973) studied this question.
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