A maximum likelihood identification method for stable autoregressive linear systems†

DOI10.1080/00207728208926328MaRDI QIDQ3931285zbMATH OpenOpenAlexFDO

Authors Isamu Shioya, Manabu Ichino, Hiroshi Inaba

Publication date 1982

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728208926328

zbMATH Keywords

maximum likelihood estimatesmaximum likelihood identification methodnumerical resultsstability conditionstable autoregressive linear systems

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Linear regression; mixed models (62J05) Analysis of variance and covariance (ANOVA) (62J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Stochastic stability in control theory (93E15)

Cites work

• Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Parameter estimation for auto-regressive systems with missing observations

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