Optimal calculation of residuals for ARMAX models with application to model verification
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This paper concerns noise estimation and its application to model testing for ARMAX models. The focus is on problems that occur when the MA part has zeros close to the unit circle.
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Cites work
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- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- scientific article; zbMATH DE number 3997615 (Why is no real title available?)
- Introduction to stochastic control theory
- On covariance function tests used in system identification
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