Bayesian-like autoregressive spectrum estimation in the case of unknown process order

DOI10.1109/TAC.1985.1103818MaRDI QIDQ3690723zbMATH OpenFDO

Authors Maciej Niedźwiecki

Publication date 1985

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1985.1103818

zbMATH Keywords

Bayesian techniqueestimation of the parameterspriorvector autoregressive process

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) 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) Identification in stochastic control theory (93E12)

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(6)

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