Maximum likelihood recursive least squares estimation for multivariate equation-error ARMA systems

DOI10.1016/j.jfranklin.2018.07.041zbMath1398.93323MaRDI QIDQ1797200

Tasawar Hayat, Feng Ding, Yan Wang, Cheng Wang, Lijuan Liu

Publication date: 18 October 2018

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2018.07.041

zbMATH Keywords

least squares identification; maximum likelihood recursive least squares estimation; multivariate equation-error ARMA systems

Mathematics Subject Classification ID

93E10: Estimation and detection in stochastic control theory

93E24: Least squares and related methods for stochastic control systems

93E12: Identification in stochastic control theory