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

DOI10.1016/0005-1098(84)90084-0MaRDI QIDQ2265989zbMATHOpenAlexFDO

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

consistencyefficiencyrecursive estimationalgorithm

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3720792 (Why is no real title available?)
• scientific article; zbMATH DE number 3251929 (Why is no real title available?)
• A new algorithm for recursive estimation of parameters in controlled ARMA processes
• Analysis of recursive stochastic algorithms
• Linear identification of ARMA processes
• Non-convergence of the approximate maximum likelihood identification algorithm
• The Fitting of Time-Series Models

Cited in

(10)

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

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