A new algorithm for recursive estimation of parameters in controlled ARMA processes (Q2265989)

A new algorithm for recursive estimation of parameters in controlled ARMA processes is presented. Following \textit{J. Durbin}'s [Bull. Int. Stat. Inst. 38, 273-282 (1961; Zbl 0104.378)] two-stage least squares algorithm, this is actually a recursive multi-step method in which least squares are used in each step. It is shown that the estimate is p- consistent and p-efficient, i.e. the properties of consistency and efficiency are approached arbitrarily closely as p tends to infinity.