Order-recursive methods for instrumental variable estimates and instrumental variable inverses

DOI10.1080/00207728708967166zbMATH Open0635.93070OpenAlexW2009187987MaRDI QIDQ3775449FDOQ3775449

Authors: Xianda Zhang, H. Takeda 

Publication date: 1987

Published in: International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728708967166

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zbMATH Keywords

instrumental variable estimatesautoregressive moving-average with exogeneous input) modelsnested matricesrecursive-in-order computation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Theory of matrix inversion and generalized inverses (15A09) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cites Work

• A new look at the statistical model identification
• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• Some observations on instrumental variable methods of time-series analysis
• Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
• A generalized pseudoinverse algorithm for unbiased parameter estimation
• Strongly consistent parameter estimation by the introduction of strong instrumental variables
• On-Line Identification in an Unknown Stochastic Environment
• On least squares algorithms for system parameter identification
• An order recursive generalized least squares algorithm for system identification

Cited In (3)

• Lattice algorithms for recursive instrumental variable methods
• The overdetermined recursive instrumental variable method
• GENERALIZED INVERSES USED IN RECURSIVE ESTIMATION OF THE GENERAL LINEAR MODEL1

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