Publication:3736759

zbMath0601.62108MaRDI QIDQ3736759

Victor Solo

Publication date: 1986

zbMATH Keywords

prediction; consistency; ARX models; Kalman filter; central limit theorem; Kullback-Leibler information; autoregressive models; multivariate ARMA models; identifiability; ARMA; Wiener filter; matrix fraction description; lags; autoregressive moving average models; closed loop systems; martingale limit theorems; simultaneous equation models; McMillan degree; Kronecker indices; state space form; transfer function models; asymptotically efficient estimators and hypothesis tests; asymptotics of regression models; least squares asymptotics; linearly feedback free processes

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

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