Optimal instrumental variable estimates of the AR parameters of an ARMA process

DOI10.1109/TAC.1985.1103839MaRDI QIDQ3695155zbMATH OpenOpenAlexFDO

Authors Petre Stoica, Torsten Söderström, Benjamin Friedlander

Publication date 1985

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.1985.1103839

zbMATH Keywords

ARMA processinstrumental variable (IV) methodmodified Yule-Walku (MYW) equations

Mathematics Subject Classification ID

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

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