scientific article; zbMATH DE number 1069598

MaRDI QIDQ4356559zbMATH OpenFDO

Authors M. M. Gabr

Publication date 5 January 1998

zbMATH Keywords

bilinear time seriesKalman filtermaximum likelihoodmissing observationsnonlinear optimizationstate-space form

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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(5)

• Filtering and identification of a state space model with linear and bilinear interactions between the states
• Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data
• Robust estimation of bilinear time series models
• Maximum likelihood estimation in space time bilinear models
• Markovian representation of a bilinear time series model and maximum likelihood estimation of the parameters

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