Prediction error estimator for non-linear stochastic systems
DOI10.1080/00207728808967623zbMath0646.93063MaRDI QIDQ3791061
Stephen A. Billings, I. J. Leontaritis
Publication date: 1988
Published in: International Journal of Systems Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207728808967623
parameter estimation; prediction error method; structural indices; structure selection; cross-validation methods; NARMAX (Nonlinear AutoRegressive Moving Average with eXogenous inputs) models
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
93C10: Nonlinear systems in control theory
93E10: Estimation and detection in stochastic control theory
93E12: Identification in stochastic control theory
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