Prediction error identification methods for stationary stochastic processes

DOI10.1109/TAC.1976.1101304MaRDI QIDQ4101707zbMATH OpenFDO

Authors Peter E. Caines

Publication date 1976

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) System identification (93B30) Estimation and detection in stochastic control theory (93E10)

Cited in

(15)

• When are two multivariate random processes indistinguishable
• On identification and adaptive estimation for systems with interrupted observations
• Uniqueness of prediction error estimates of multivariable moving average models
• Robust identification
• Asymptotic properties of prediction error estimators in approximate system identification
• A method for approximate representation of vector-valued time series and its relation to two alternatives
• Consistent estimates of parameters in noisy dynamical systems†
• Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
• State space approach to the term structure of interest rates
• Maximum likelihood and prediction error methods
• Distance measures for stochastic models
• Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation
• Asymptotic properties of prediction error estimators in approximate system identification
• Linear identification of ARMA processes
• Model approximations via prediction error identification

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