Prediction error identification methods for stationary stochastic processes

DOI10.1109/TAC.1976.1101304MaRDI QIDQ4101707zbMATH OpenFDO

Authors Peter E. Caines

Publication date 1976

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

Full work available at URL https://doi.org/10.1109/TAC.1976.1101304

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) System identification (93B30) Estimation and detection in stochastic control theory (93E10)

Cited in

(15)

• Robust identification
• Maximum likelihood and prediction error methods
• Linear identification of ARMA processes
• Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation
• Model approximations via prediction error identification
• Uniqueness of prediction error estimates of multivariable moving average models
• On identification and adaptive estimation for systems with interrupted observations
• When are two multivariate random processes indistinguishable
• Consistent estimates of parameters in noisy dynamical systems†
• Distance measures for stochastic models
• Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
• State space approach to the term structure of interest rates
• A method for approximate representation of vector-valued time series and its relation to two alternatives
• Asymptotic properties of prediction error estimators in approximate system identification
• Asymptotic properties of prediction error estimators in approximate system identification

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