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

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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