Autoregressive model fitting for control

DOI10.1007/BF02479221MaRDI QIDQ2558847zbMATH OpenOpenAlexFDO

Authors Hirotugu Akaike

Publication date 1971

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02479221

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Cites work

• scientific article; zbMATH DE number 3344199 (Why is no real title available?)
• scientific article; zbMATH DE number 3086018 (Why is no real title available?)
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Statistical predictor identification

Cited in

(22)

• Prediction of multivariate time series by autoregressive model fitting
• A new ship's auto pilot design through a stochastic model
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Prediction of pollution levels by mixed order multi-variable AR scheme
• Parameter identification technique for multivariate stochastic systems
• Generalized maximum entropy based identification of graphical ARMA models
• Model specification and selection for multivariate time series
• On adaptive covariance and spectrum estimation of locally stationary multivariate processes
• Term structure of interest rates and the expectation hypothesis: The Euro area
• ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES
• PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
• Asymptotic distribution of the order selected by AIC in multivariate autoregressive model fitting
• On the stationarity of multiple autoregressive approximants: theory and algorithms
• Proability estimation usind a multinominal logistic function^†
• On a statistic useful in dimensionality reduction in multivariable linear stochastic system
• Order selection criteria for vector autoregressive models
• Multistep forecast selection for panel data
• Stochastic declustering of earthquakes with the spatiotemporal renewal ETAS model
• Identification of multivariate AR-models by threshold accepting
• A novel double-banded-threshold mixture autoregressive model
• A data-based regional scale autoregressive rainfall-runoff model: a study from the Odra river
• A test for the presence of pure feedback in multivariate dynamic stochastic systems

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