ARMA identification
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spectral identificationautoregressive moving average (ARMA) processesHankel matrix of moment estimatessuccessive 1-step predictors
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)
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Cites work
- scientific article; zbMATH DE number 3233996 (Why is no real title available?)
- scientific article; zbMATH DE number 3395169 (Why is no real title available?)
- Identification and filtering
- Machine independent monte carlo evaluation of the performance of dynamic stochastic systems
- Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
- Mathematical Description of Linear Dynamical Systems
- The Synthesis of Linear Dynamical Systems from Prescribed Weighting Patterns
Cited in
(7)- Identification and filtering
- Identification of an unstable ARMA equation
- AN APPLICATION OF THE SCHUR‐COHN ALGORITHM TO TIME SERIES ANALYSIS
- On the identification of AR systems excited by periodic signals of unknown phase
- Uniqueness of estimated k-step prediction models of ARMA processes
- Prediction and filtration of a partially observed vector ARMA system of first order
- scientific article; zbMATH DE number 1532436 (Why is no real title available?)
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