Prediction and filtration of a partially observed vector ARMA system of first order

DOI10.1016/0898-1221(85)90056-2zbMath0576.93061OpenAlexW1972821370MaRDI QIDQ1064999

István Bencsik, György Michaletzky

Publication date: 1985

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(85)90056-2

zbMATH Keywords

estimation of the autoregressive and moving average parametersfirst order type system

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Prediction theory (aspects of stochastic processes) (60G25) Model systems in control theory (93C99)

Related Items (1)

Approximate predictor and filter for partially observed vector ARMA processes

Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
• Introduction to stochastic control theory
• A view of three decades of linear filtering theory
• Realization of invariant system descriptions from infinite Markov sequences
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