A recursive approach to time-series analysis for multi-variable systems

DOI10.1080/00207177708922245MaRDI QIDQ4132077zbMATH OpenOpenAlexFDO

Authors

Publication date 1977

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207177708922245

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Cites work

• A bootstrap method for the statistical estimation of model parameters†
• Errors in Variables
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• Least squares estimation in the regression model with autoregressive-moving average errors
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• On the generalized Karhunen-Loeve expansion (Corresp.)
• Vector linear time series models

Cited in

(5)

• Optimized regression models for time series
• Min-max optimal instrumental variable estimation method for multivariate linear time-series systems
• On the convergence of Young's instrumental variable and approximate maximum likelihood algorithms
• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
• Estimation of coefficients for multiple input system models without employing common denominator structure

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