Parameter estimation for auto-regressive systems with missing observations

DOI10.1080/00207728008967071MaRDI QIDQ3898408zbMATH OpenOpenAlexFDO

Authors P. B. McGiffin, D. N. Prabhakar Murthy

Publication date 1980

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/10.1080/00207728008967071

zbMATH Keywords

ARMA processconsistencymissing dataprediction error

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cites work

• A note on the time series which is the product of two stationary time series
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Missing Data in an Autoregressive Model

Cited in

(4)

• A new type of parameter estimation algorithm for missing data problems
• Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data
• Parameter estimation for auto-regressive systems with missing observations—Part II
• A maximum likelihood identification method for stable autoregressive linear systems†

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