Lattice algorithms for recursive instrumental variable methods

DOI10.1002/(SICI)1099-1115(199603)10:2/3%3C177::AID-ACS347%3E3.0.CO;2-NMaRDI QIDQ4883775zbMATH OpenOpenAlexFDO

Authors Jerry M. Mendel, Ananthram Swami

Publication date 21 August 1996

Full work available at URL https://doi.org/10.1002/(sici)1099-1115(199603)10:2/3%3C177::aid-acs347%3E3.0.co;2-n

zbMATH Keywords

adaptive estimationadaptive signal detectorsARMAautoregressive parameters estimationcross-correlation matrixcumulant-based lattice structuresdouble-lattice algorithminstrumental variable methodsjoint process estimation problemlinear prediction algorithmparameter estimationprediction error filtersrecursive lattice algorithmsstatistical analysis of time seriestime- and order-recursive lattice filterstransversal filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Identification in stochastic control theory (93E12)

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Cited in

(7)

• Recursive estimation algorithm using HNL moments for AR and ARMA processes under the noise environment
• scientific article; zbMATH DE number 3856289 (Why is no real title available?)
• Instrumental variable methods for ARMA spectral estimation
• Finite data lattice algorithms for instrumental variable recursions
• Application of the lattice filter to robust estimation of AR and ARMA models
• scientific article; zbMATH DE number 916417 (Why is no real title available?)
• Recursive lattice forms for spectral estimation

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