Order-recursive methods for instrumental variable estimates and instrumental variable inverses

DOI10.1080/00207728708967166MaRDI QIDQ3775449zbMATH OpenOpenAlexFDO

Authors Xianda Zhang, H. Takeda

Publication date 1987

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728708967166

zbMATH Keywords

autoregressive moving-average with exogeneous input) modelsinstrumental variable estimatesnested matricesrecursive-in-order computation

Mathematics Subject Classification ID

Theory of matrix inversion and generalized inverses (15A09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites work

• A generalized pseudoinverse algorithm for unbiased parameter estimation
• A new look at the statistical model identification
• An order recursive generalized least squares algorithm for system identification
• Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
• On least squares algorithms for system parameter identification
• On-Line Identification in an Unknown Stochastic Environment
• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• Some observations on instrumental variable methods of time-series analysis
• Strongly consistent parameter estimation by the introduction of strong instrumental variables

Cited in

(3)

• The overdetermined recursive instrumental variable method
• GENERALIZED INVERSES USED IN RECURSIVE ESTIMATION OF THE GENERAL LINEAR MODEL1
• Lattice algorithms for recursive instrumental variable methods

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