Estimation of trends and identification of time series dynamics in short observation sections

DOI10.1134/S1064230709010018MaRDI QIDQ1040185zbMATH OpenOpenAlexFDO

Authors A. A. Lomov

Publication date 24 November 2009

Published in Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1064230709010018

zbMATH Keywords

linear difference equationsrandom disturbancestime series

Mathematics Subject Classification ID

Synthesis problems (93B50) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cites work

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• Identifiability of linear parametric stochastic systems. I. Identifiability equations
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• Identification of the parameters of autoregression equations by the method of least squares in the case of additive measurement errors
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• Signal restoration in linear systems with trends
• Trend estimation and de-trending via rational square-wave filters

Cited in

(5)

• Signal restoration in linear systems with trends. II
• An approach to organization of computations in trend modeling
• On quantitative a priori measures of identifiability of coefficients of linear dynamic systems
• Stochastic trends based on fuzzy mathematics
• On the identification of difference equations by observations of solutions with perturbations from a given linear manifold

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