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

DOI10.1109/TAC.1985.1104068MaRDI QIDQ3684010zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(4)

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

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