Linear identification of ARMA processes

DOI10.1016/0005-1098(82)90074-7zbMath0488.93055OpenAlexW2057635360MaRDI QIDQ1166474

F. Firoozan, David Q. Mayne

Publication date: 1982

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(82)90074-7

zbMATH Keywords

nonlinear filteringleast-squares estimationidentification algorithmautoregressive moving average systems

Mathematics Subject Classification ID

Related Items (11)

Open-loop asymptotically efficient model reduction with the Steiglitz-McBride method ⋮ A LINEAR ESTIMATION PROCEDURE FOR THE PARAMETERS OF AUTOREGRESSIVE MOVING-AVERAGE PROCESSES ⋮ A fast estimation method for ARMA processes ⋮ Using instrumental variables for selecting the order of arma models ⋮ ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS ⋮ Identification of dynamic errors-in-variables models: Approaches based on two-dimensional ARMA modeling of the data ⋮ A covariance extension approach to identification of time series ⋮ Estimating models with high-order noise dynamics using semi-parametric weighted null-space fitting ⋮ Linear estimation of the regression model with ARMA disturbances: a simulation study ⋮ A new algorithm for recursive estimation of parameters in controlled ARMA processes ⋮ Linear estimation of ARMA processes

Cites Work

• Convergence properties of the generalised least squares identification method
• Consistent autoregressive spectral estimates
• The strong consistency of maximum likelihood estimators for ARMA processes
• Feedforward, correlated disturbances and identification
• The Fitting of Time-Series Models
• Parameter estimation in multivariate stochastic difference equations
• Prediction error identification methods for stationary stochastic processes
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