On the martingale approximation of the estimation error of ARMA parameters

DOI10.1016/0167-6911(90)90066-4MaRDI QIDQ807566zbMATH OpenOpenAlexFDO

Authors László Gerencsér

Publication date 1990

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(90)90066-4

zbMATH Keywords

martingale approximationRissanen's tail condition

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

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• Multivariate linear time series models
• On a class of mixing processes
• On covariance function tests used in system identification
• Some Results on the Complete and Almost Sure Convergence of Linear Combinations of Independent Random Variables and Martingale Differences
• Stochastic complexity and modeling
• The strong consistency of maximum likelihood estimators for ARMA processes
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
• Uniqueness of prediction error estimates of multivariable moving average models
• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model
• Vector linear time series models

Cited in

(6)

• On the computation of the Cramer-Rao bound for ARMA parameter estimation
• On Rissanen's predictive stochastic complexity for stationary ARMA processes
• Strong approximation of the recursive prediction error estimator of the parameters of an ARMA process
• Fixed-gain estimation in continuous time
• A two-stage information criterion for stochastic systems revisited
• Rate of convergence of the LMS method

Describes a project that uses

Uses Software

• GAUSSIAN

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