STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE-STATIONARY STOCHASTIC PROCESSES (Q3033181)
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scientific article; zbMATH DE number 4131513
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| English | STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE-STATIONARY STOCHASTIC PROCESSES |
scientific article; zbMATH DE number 4131513 |
Statements
STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE-STATIONARY STOCHASTIC PROCESSES (English)
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1988
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nonlinear maximum likelihood estimators
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structural, stationary version
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state-space model
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covariance-stationary stochastic processes
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rank condition for local parameter identifiability
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prediction-error estimation
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strong consistency
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asymptotic efficiency
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dependent observations
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steady-state Kalman filter
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prediction-error estimation method
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0.8009800314903259
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0.764350950717926
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0.7607057094573975
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0.7590775489807129
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0.7498884201049805
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