Experiment Design for Time Series Analysis: The Multivariate Case

DOI10.1137/0137028MaRDI QIDQ3851461zbMATH OpenOpenAlexFDO

Authors Martin B. Zarrop, Robert L. Payne, Graham C. Goodwin

Publication date 1979

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0137028

zbMATH Keywords

information matricesmultivariable time series analysisnormalized designsoptimal experiment design

Mathematics Subject Classification ID

Optimal statistical designs (62K05) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(2)

• Optimal input design for the identification of linear multivariable systems with disjoint parametrization
• Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation

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