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

DOI10.1016/0005-1098(84)90084-0zbMATH Open0559.93076OpenAlexW1997301146MaRDI QIDQ2265989FDOQ2265989

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

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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)

Cites Work

• Analysis of recursive stochastic algorithms
• The Fitting of Time-Series Models
• Title not available (Why is that?)
• Non-convergence of the approximate maximum likelihood identification algorithm
• Linear identification of ARMA processes
• Title not available (Why is that?)
• A new algorithm for recursive estimation of parameters in controlled ARMA processes

Cited In (10)

• Title not available (Why is that?)
• ARMA parameter estimation using a novel recursive estimation algorithm with selective updating
• Title not available (Why is that?)
• A new algorithm for recursive estimation of parameters in controlled ARMA processes
• Consistency and relative efficiency of subspace methods
• Efficient recursive estimation and adaptive control in stochastic regression and ARMAX mod\-els
• Three-stage recursive least squares parameter estimation for controlled autoregressive autoregressive systems
• Recursive maximum likelihood estimation of autoregressive processes
• A Recursive Algorithm for Adaptive Estimation and Parameter Change Detection of Time Series Models
• Title not available (Why is that?)

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