Iterative Least Squares Estimation and Identification of the Transfer Function Model

DOI10.1111/1467-9892.00069MaRDI QIDQ4379710zbMATH OpenOpenAlexFDO

Authors Daniel A. Muller, William W. S. Wei

Publication date 4 March 1998

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00069

zbMATH Keywords

autocovariance functioncross-correlation functionleast squares estimatesmodel identificationtime seriestransfer function modelsYule-Walker equations

Mathematics Subject Classification ID

Point estimation (62F10) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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