Large-sample estimation of the AR parameters of an ARMA model

DOI10.1109/TAC.1985.1104068zbMATH Open0567.93065OpenAlexW2102620175MaRDI QIDQ3684010FDOQ3684010

Authors: Petre Stoica, Benjamin Friedlander, Torsten Söderström 

Publication date: 1985

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1985.1104068

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zbMATH Keywords

ARMA modeloptimal instrumental-variable estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Foundations and philosophical topics in statistics (62A01) Estimation and detection in stochastic control theory (93E10)

Cited In (4)

• Large sample properties of parameter least squares estimates for time‐varying arma models
• On the convergence of Young's instrumental variable and approximate maximum likelihood algorithms
• An indirect prediction error method for system identification
• Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process

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