A new algorithm for recursive estimation of parameters in controlled ARMA processes

DOI10.1016/0005-1098(84)90084-0MaRDI QIDQ2265989zbMATH OpenOpenAlexFDO

Authors J. M. C. Clark, D. Q. Mayne, Karl J. Åström

Publication date 1984

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://lup.lub.lu.se/record/8601924

zbMATH Keywords

algorithmconsistencyefficiencyrecursive estimation

Mathematics Subject Classification ID

Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Review text

A new algorithm for recursive estimation of parameters in controlled ARMA processes is presented. Following \textit{J. Durbin}'s [Bull. Int. Stat. Inst. 38, 273-282 (1961; Zbl 0104.378)] two-stage least squares algorithm, this is actually a recursive multi-step method in which least squares are used in each step. It is shown that the estimate is p- consistent and p-efficient, i.e. the properties of consistency and efficiency are approached arbitrarily closely as p tends to infinity.

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Cites work

• A new algorithm for recursive estimation of parameters in controlled ARMA processes
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Cited in

(12)

• An efficient order recursive algorithm with a lattice structure for estimating continuous-time AR process parameters
• Three-stage recursive least squares parameter estimation for controlled autoregressive autoregressive systems
• Consistency and relative efficiency of subspace methods
• A new algorithm for recursive estimation of parameters in controlled ARMA processes
• Efficient recursive estimation and adaptive control in stochastic regression and ARMAX mod\-els
• ARMA parameter estimation using a novel recursive estimation algorithm with selective updating
• Recursive maximum likelihood estimation of autoregressive processes
• scientific article; zbMATH DE number 3938370 (Why is no real title available?)
• A Recursive Algorithm for Adaptive Estimation and Parameter Change Detection of Time Series Models
• scientific article; zbMATH DE number 4025296 (Why is no real title available?)
• scientific article; zbMATH DE number 24162 (Why is no real title available?)
• scientific article; zbMATH DE number 223551 (Why is no real title available?)

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