We develop a new method to estimate an ARMA model in the presence of big time series data. Using the concept of a rolling average, we develop a new efficient algorithm, called Rollage, to estimate the order of an AR model and subsequently fit the model. When used in conjunction with an existing methodology, specifically Durbin's algorithm, we show that our proposed method can be used as a criterion to optimally fit ARMA models. Empirical results on large-scale synthetic time series data support the theoretical results and reveal the efficacy of this new approach, especially when compared to existing methodology.
翻译:我们开发了一种新的方法,在存在大型时间序列数据的情况下估算ARMA模型。我们利用滚动平均值的概念,开发了一种新的高效算法,称为滚动法,以估计AR模型的顺序,并随后与模型相匹配。 当与现有方法,特别是Durbin的算法结合使用时,我们表明我们所提议的方法可以用作最佳匹配ARMA模型的标准。 大规模合成时间序列数据的经验性结果支持了理论结果,并揭示了这一新方法的功效,尤其是与现有方法相比。