A method for adaptive estimation of ARMA processes

DOI10.1016/0167-6911(88)90092-8MaRDI QIDQ1120537zbMATH OpenOpenAlexFDO

Authors Lei Guo, Hanfu Chen

Publication date 1988

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(88)90092-8

zbMATH Keywords

adaptive identificationautoregressive moving average processesextended least squares algorithmslinear stochastic systemsnoise processstrictly positive real

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) 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)

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Cites work

• A method for autoregressive-moving average estimation
• Autocorrelation, autoregression and autoregressive approximation
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Counterexamples to general convergence of a commonly used recursive identification method
• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3233996 (Why is no real title available?)
• Rational transfer function approximation (with discussion)

Cited in

(10)

• Convergence analysis of ladder algorithms for AR and ARMA models
• Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
• An adaptive estimation method using instrumental variables and deconvolution
• Adaptive pole estimation
• Tracking analysis of an ARMA parameter estimation algorithm
• Adaptive identification of a modified ARMA lattice model
• scientific article; zbMATH DE number 29703 (Why is no real title available?)
• Adaptive R-estimation in a linear regression model with ARMA errors
• Estimation and prediction for large models with saturated output observation and general input condition
• Recursive identification for multidimensional ARMA processes with increasing variance

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