Identification of an unstable ARMA equation
Summary: Usually the coefficients in a stochastic time series model are partially or entirely unknown when the realization of the time series is observed. Sometimes the unknown coefficients can be estimated from the realization with the required accuracy. That will eventually allow optimizing the data handling of the stochastic time series. Here it is shown that the recurrent least-squares (LS) procedure provides strongly consistent estimates for a linear autoregressive (AR) equation of infinite order obtained from a minimal phase regressive (ARMA) equation. The LS identification algorithm is accomplished by the Padé approximation used for the estimation of the unknown ARMA parameters.
- Recursive method for ARMA model estimation. I
- Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
- Kalman-type recursions for time-varying ARMA models and their implication for least squares procedure
- ARMA identification
- scientific article; zbMATH DE number 4009603
- Convergence of the least-squares method with a polynomial regularizer for the infinite-dimensional autoregression equation
- Instability detection of ARMA systems based on AR system identification
- scientific article; zbMATH DE number 3871165 (Why is no real title available?)
- Kalman-type recursions for time-varying ARMA models and their implication for least squares procedure
- Recursive identification for multidimensional ARMA processes with increasing variance
- Strong consistency of the regularized least-squares estimates of infinite autoregressive models
- Autoregressive frequency detection using regularized least squares
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