Autoregressive model fitting for control

DOI10.1007/BF02479221zbMath0255.93026OpenAlexW4246686683MaRDI QIDQ2558847

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

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

Related Items

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

Cites Work

• Unnamed Item
• Unnamed Item
• Statistical predictor identification
• 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