Non-iterative optimal min-max instrumental variable method for system identification

DOI10.1080/00207178808906134MaRDI QIDQ3792609zbMATH OpenOpenAlexFDO

Authors Petre Stoica, Arye Nehorai

Publication date 1988

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

Full work available at URL https://doi.org/10.1080/00207178808906134

zbMATH Keywords

min-max problemoptimal instrumental variable methodsparameter estimationquadratic error criterion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites work

• scientific article; zbMATH DE number 3131354 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process
• Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems

Cited in

(6)

• Minimax identification of a nonlinear dynamic observation system
• Necessary and sufficient convergence conditions of the instrumental variable method for identification
• Min-max optimal instrumental variable estimation method for multivariate linear time-series systems
• Some modifications on the refined instrumental variable method†
• scientific article; zbMATH DE number 38956 (Why is no real title available?)
• Optimally conditioned instrumental variable approach for frequency-domain system identification

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