STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE-STATIONARY STOCHASTIC PROCESSES

DOI10.1111/j.1467-9892.1988.tb00453.xzbMath0691.62100OpenAlexW2023530571WikidataQ115039134 ScholiaQ115039134MaRDI QIDQ3033181

Pieter W. Otter

Publication date: 1988

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00453.x

zbMATH Keywords

asymptotic efficiencystate-space modelstrong consistencydependent observationscovariance-stationary stochastic processesnonlinear maximum likelihood estimatorsprediction-error estimationprediction-error estimation methodrank condition for local parameter identifiabilitysteady-state Kalman filterstructural, stationary version

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cites Work

• Notes on economic time series analysis: system theoretic perspectives
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• Dynamic feature space modelling, filtering and self-tuning control of stochastic systems. A systems approach with economic and social applications
• Dynamic system identification. Experiment design and data analysis
• Stochastic processes and filtering theory
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