Parameter estimation in multivariate stochastic difference equations

DOI10.1109/TAC.1974.1100717MaRDI QIDQ4076639zbMATH OpenOpenAlexFDO

Authors R. I. Kashyap, Robert E. Nasburg

Publication date 1974

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

Full work available at URL https://doi.org/10.1109/tac.1974.1100717

Mathematics Subject Classification ID

Stochastic analysis (60H99) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Cited in

(10)

• An equivalent canonical form for multiple time series
• Structural identification and software package for linear multivariable systems
• Linear identification of ARMA processes
• Parameter identification technique for multivariate stochastic systems
• Identifiability and persistent excitation in full matrix fraction parameter estimation
• Identification of a class of multivariable systems from impulse response data: Theory and computational algorithm
• Stability of stochastic 2-D systems
• When are two multivariate random processes indistinguishable
• Structural properties and structure estimation of vector difference equations
• Optimal instrumental-variable methods for identification of multivariable linear systems

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