scientific article; zbMATH DE number 4126533

MaRDI QIDQ4206264zbMATH OpenFDO

Authors Shaohua Niu, Deyun Xiao

Publication date 1989

zbMATH Keywords

covariance matrixCIMmodel orderorder determinationextended least squares methodUD factorizationrecursive identification algorithmCondensed Information Matrixlinear difference equation model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

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Cited in

(1)

• An augmented UD identification algorithm

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