Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems

DOI10.1080/00207177908922724MaRDI QIDQ3858100zbMATH OpenOpenAlexWikidataFDO

Authors A. J. Jakeman, Peter Young

Publication date 1979

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207177908922724

zbMATH Keywords

estimatingMonte Carlo analysismultivariable systemsrecursive time-series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10)

Cites work

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Cited in

(22)

• Parameter estimation for continuous-time models - a survey
• An instrumental variable method for model order identification
• Open-loop asymptotically efficient model reduction with the Steiglitz-McBride method
• A unified approach to environmental systems modeling
• Refined instrumental variable estimation: maximum likelihood optimization of a unified Box-Jenkins model
• Gauss, Kalman and advances in recursive parameter estimation
• Min-max optimal instrumental variable estimation method for multivariate linear time-series systems
• On the convergence of Young's instrumental variable and approximate maximum likelihood algorithms
• Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties
• Refined instrumental variable methods of recursive time-series analysis Part III. Extensions
• Estimation of coefficients for multiple input system models without employing common denominator structure
• Instrumental-variable methods for identification of Hammerstein systems
• Recursive multivariate time-series analysis with the inputs split into subsets with separate matrix transfer functions
• Comparison of total least squares and instrumental variable methods for parameter estimation of transfer function models
• Advanced methods of recursive time-series analysis
• Irreducible model estimation for MIMO systems
• Enhancing feedforward controller tuning via instrumental variables: with application to nanopositioning
• The advantages of directly identifying continuous-time transfer function models in practical applications
• Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances
• Optimal instrumental-variable methods for identification of multivariable linear systems
• The Box-Jenkins Steiglitz-McBride algorithm
• Extimation and structure determination of multivariate input systems

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