A recursive approach to time-series analysis for multi-variable systems
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Publication:4132077
DOI10.1080/00207177708922245zbMath0359.93036OpenAlexW2034476371MaRDI QIDQ4132077
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Publication date: 1977
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207177708922245
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)
Related Items (5)
Optimized regression models for time series ⋮ Min-max optimal instrumental variable estimation method for multivariate linear time-series systems ⋮ Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems ⋮ On the convergence of Young's instrumental variable and approximate maximum likelihood algorithms ⋮ Estimation of coefficients for multiple input system models without employing common denominator structure
Cites Work
- Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
- Vector linear time series models
- On the generalized Karhunen-Loeve expansion (Corresp.)
- A bootstrap method for the statistical estimation of model parameters†
- Least squares estimation in the regression model with autoregressive-moving average errors
- Errors in Variables
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