Linear identification of ARMA processes

DOI10.1016/0005-1098(82)90074-7MaRDI QIDQ1166474zbMATH OpenOpenAlexFDO

Authors F. Firoozan, D. Q. Mayne

Publication date 1982

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(82)90074-7

zbMATH Keywords

autoregressive moving average systemsidentification algorithmleast-squares estimationnonlinear filtering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

Cites work

• Consistent autoregressive spectral estimates
• Convergence properties of the generalised least squares identification method
• Feedforward, correlated disturbances and identification
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• Parameter estimation in multivariate stochastic difference equations
• Prediction error identification methods for stationary stochastic processes
• The Fitting of Time-Series Models
• The strong consistency of maximum likelihood estimators for ARMA processes

Cited in

(11)

• Linear estimation of ARMA processes
• Identification of dynamic errors-in-variables models: Approaches based on two-dimensional ARMA modeling of the data
• Open-loop asymptotically efficient model reduction with the Steiglitz-McBride method
• Estimating models with high-order noise dynamics using semi-parametric weighted null-space fitting
• A fast estimation method for ARMA processes
• A covariance extension approach to identification of time series
• A new algorithm for recursive estimation of parameters in controlled ARMA processes
• Using instrumental variables for selecting the order of arma models
• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• A LINEAR ESTIMATION PROCEDURE FOR THE PARAMETERS OF AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Linear estimation of the regression model with ARMA disturbances: a simulation study

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