A Note on the Specification and Estimation of ARMAX Systems
From MaRDI portal
Recommendations
- Suboptimum Maximum Likelihood Identification of ARMAX Processes
- On the generalized least squares estimator of an ARMAX model. Application to the identification of ARMA models
- scientific article; zbMATH DE number 218711
- Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method
- Multivariate linear time series models
Cites work
- 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
- A Bayes procedure for the identification of univariate time series models
- A new look at the statistical model identification
- Asymptotic properties of projections with applications to stochastic regression problems
- Consistency and asymptotic normality of some subspace algorithms for systems without observed inputs
- Elements of multivariate time series analysis
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 1090982 (Why is no real title available?)
- Invariants and canonical forms for systems structural and parametric identification
- On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
- Statistical analysis of novel subspace identification methods
Cited in
(17)- Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms
- Identification of ARX and ARARX models in the presence of input and output noises
- Residual autocorrelation distribution in the validation data set
- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- scientific article; zbMATH DE number 5842468 (Why is no real title available?)
- Multivariate linear time series models
- scientific article; zbMATH DE number 4070780 (Why is no real title available?)
- A tabular methodology to identify minimal row degrees for matrix Padé approximants
- Suboptimum Maximum Likelihood Identification of ARMAX Processes
- ARMAX Modelling in Structural Dynamics – Approximations of the Differential Equations of Motion
- ARMAX Modelling in Structural Dynamics – Numerical Integration of the Integral Representations
- A counterexample to the uniqueness of the asymptotic estimate in ARMAX model identification via the correlation approach
- scientific article; zbMATH DE number 2091936 (Why is no real title available?)
- Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
- Informative sampling for multivariate ARMAX systems
- Estimation of ARMAX processes with noise corrupted output signal observations
- Extimation and structure determination of multivariate input systems
This page was built for publication: A Note on the Specification and Estimation of ARMAX Systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5467600)
