TRANSFER FUNCTION ESTIMATION

DOI10.1111/J.1467-9892.1993.TB00159.XzbMath0780.62067OpenAlexW1998562697MaRDI QIDQ4272769

Laimonis Kavalieris

Publication date: 20 December 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00159.x

zbMATH Keywords

linear systemconsistencytransfer functionmeasurement noiseautoregressive modelparameterizationinformation criterionmartingale transformsorder estimationautoregressive approximationnew uniform convergence lawnoise spectrum estimatesselection of model orders

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10)

Cites Work

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• Multivariate linear time series models
• Recursive estimation of mixed autoregressive-moving average order
• Monotonicity of the Variance Under Truncation and Variations of Jensen's Inequality

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