Min-max optimal instrumental variable estimation method for multivariate linear time-series systems
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Publication:3032170
DOI10.1080/00207178908953409zbMath0689.93058OpenAlexW2127147599MaRDI QIDQ3032170
Petre Stoica, Jan G. De Gooijer
Publication date: 1989
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207178908953409
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)
Uses Software
Cites Work
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- Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
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- Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey
- Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
- A recursive approach to time-series analysis for multi-variable systems
- Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems
- Generalized Yule-Walker equations and testing the orders of multivariate time series
- Block Toeplitz Matrix Inversion
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