Min-max optimal instrumental variable estimation method for multivariate linear time-series systems

DOI10.1080/00207178908953409MaRDI QIDQ3032170zbMATH OpenOpenAlexFDO

Authors Jan G. De Gooijer, Petre Stoica

Publication date 1989

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207178908953409

zbMATH Keywords

linear time seriesmin-max optimal instrumental variable estimation method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear systems in control theory (93C05) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10)

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Cites work

• A recursive approach to time-series analysis for multi-variable systems
• An instrumental variable method for model order identification
• Block Toeplitz Matrix Inversion
• Generalized Yule-Walker equations and testing the orders of multivariate time series
• Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors
• Large Sample Properties of Generalized Method of Moments Estimators
• Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey
• Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems
• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems

Cited in

(3)

• An instrumental variables interpretation of linear systems theory estimation
• Non-iterative optimal min-max instrumental variable method for system identification
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• AS 183

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