Optimal instrumental variable estimates of the AR parameters of an ARMA process

DOI10.1109/TAC.1985.1103839zbMath0575.93060OpenAlexW2139931613MaRDI QIDQ3695155

Petre Stoica, Torsten Söderström, Benjamin Friedlander

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.1985.1103839

zbMATH Keywords

ARMA processinstrumental variable (IV) methodmodified Yule-Walku (MYW) equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

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