Optimization with respect to covariance sequence parameters

DOI10.1016/0005-1098(85)90041-XMaRDI QIDQ1070991zbMATH OpenOpenAlexFDO

Authors Torsten Söderström, Petre Stoica

Publication date 1985

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(85)90041-x

zbMATH Keywords

recursive algorithmsstationary discrete processpartial autocorrelation function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 3465192 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A useful input parameterization for optimal experiment design
• Characterization of the partial autocorrelation function
• Instrumental variable methods for system identification
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• The Fitting of Time-Series Models

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(8)

• scientific article; zbMATH DE number 4043641 (Why is no real title available?)
• A generalised instrumental variable estimator for multivariable errors-in-variables identification problems
• Optimization of the generalized covariance estimator in noncausal processes
• Optimization of parameters of stationary models in a unitary space
• Approximate maximum-likelihood approach to ARMA spectral estimation
• Approximate maximum likelihood frequency estimation
• Optimising prediction error among completely monotone covariance sequences
• Stationary discrete-time covariance factorization using Newton-Raphson iteration

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