Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method (Q2641054)
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| Language | Label | Description | Also known as |
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| English | Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method |
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Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method (English)
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1990
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The authors study estimation problems of orders and coefficients of linear feedback control systems, described by ARMAX models. The algorithms are inspired by the Hannan-Rissanen method for estimation of stationary ARMA models. Almost sure convergence of the estimates is proved using limit theorems for double array martingales and non-negative supermartingales.
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stochastic Lyapunov functions
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nonstationary
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least squares
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order estimation
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positive real
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coefficients of linear feedback control systems
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ARMAX models
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Hannan-Rissanen method
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Almost sure convergence
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double array martingales
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non-negative supermartingales
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