Bayesian-like autoregressive spectrum estimation in the case of unknown process order

DOI10.1109/TAC.1985.1103818zbMath0572.93067MaRDI QIDQ3690723

Maciej Niedźwiecki

Publication date: 1985

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

zbMATH Keywords

prior; vector autoregressive process; estimation of the parameters; Bayesian technique

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62A01: Foundations and philosophical topics in statistics

62M15: Inference from stochastic processes and spectral analysis

93E10: Estimation and detection in stochastic control theory

93E12: Identification in stochastic control theory

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