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

DOI10.1016/j.jfranklin.2018.07.041zbMath1398.93323OpenAlexW2888081063MaRDI QIDQ1797200

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

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 identificationmaximum likelihood recursive least squares estimationmultivariate equation-error ARMA systems

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12)

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