Recursive covariance ladder algorithms for ARMA system identification

DOI10.1109/29.1559zbMATH Open0652.93058OpenAlexW2077859115MaRDI QIDQ3798569FDOQ3798569

Peter Strobach

Publication date: 1988

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/29.1559

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zbMATH Keywords

ARMA least-squares estimation problemPure Order Recursive Ladder Algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Sequential estimation (62L12) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cited In (4)

• A recursive procedure for ARMA modeling
• ARMAX lattice algorithm for identification and prediction of dynamic systems
• Recursive triangular array ladder algorithms
• Convergence analysis of ladder algorithms for AR and ARMA models

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