Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems

DOI10.1080/00207177908922724zbMath0423.93024OpenAlexW2082079694WikidataQ59988713 ScholiaQ59988713MaRDI QIDQ3858100

Anthony J. Jakeman, Peter C. Young

Publication date: 1979

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207177908922724

zbMATH Keywords

multivariable systemsMonte Carlo analysisestimatingrecursive time-series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10)

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Cites Work

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• Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
• A recursive approach to time-series analysis for multi-variable systems
• Least squares estimation in dynamic-disturbance time series models
• A new look at the statistical model identification

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