Performance analysis of estimation algorithms of nonstationary ARMA processes

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (56)

Gradient-based identification methods for Hammerstein nonlinear ARMAX models
Gradient-based parameter estimation for input nonlinear systems with ARMA noises based on the auxiliary model
Two-stage least squares based iterative identification algorithm for controlled autoregressive moving average (CARMA) systems
Iterative identification algorithm for Wiener nonlinear systems using the Newton method
Generalized Yule-walker and two-stage identification algorithms for dual-rate systems
Recursive computational formulas of the least squares criterion functions for scalar system identification
Hierarchical least squares based iterative estimation algorithm for multivariable Box-Jenkins-like systems using the auxiliary model
Identification of dual‐rate sampled errors‐in‐variables systems with time delays
Auxiliary model-based RELS and MI-ELS algorithm for Hammerstein OEMA systems
A covariance matching approach for identifying errors-in-variables systems
Gradient based and least squares based iterative algorithms for matrix equations \(AXB + CX^{T}D = F\)
Convergence analysis of forgetting factor least squares algorithm for ARMAX time-delay models
Gradient-based iterative identification for nonuniform sampling output error systems
Hierarchical least squares algorithms for single-input multiple-output systems based on the auxiliary model
Multi-innovation stochastic gradient algorithm for multiple-input single-output systems using the auxiliary model
An iterative least squares estimation algorithm for controlled moving average systems based on matrix decomposition
Least squares parameter estimation and multi-innovation least squares methods for linear fitting problems from noisy data
Identification for the second-order systems based on the step response
Performance analysis of multi-innovation gradient type identification methods
Performance analysis of the AM-SG parameter estimation for multivariable systems
Multi-innovation least squares identification methods based on the auxiliary model for MISO systems
Maximum likelihood interval-varying recursive least squares identification for output-error autoregressive systems with scarce measurements
Filtering‐based multi‐innovation recursive identification methods for input nonlinear systems with piecewise‐linear nonlinearity based on the optimization criterion
Instrumental variable‐based multi‐innovation gradient estimation for nonlinear systems with scarce measurements
Two-stage recursive least squares parameter estimation algorithm for output error models
Observable state space realizations for multivariable systems
The residual based interactive least squares algorithms and simulation studies
Bias compensated stochastic gradient algorithm for identification of an ARX‐type nonlinear rational model and its application in modeling of the dynamic of the cellular toxicity
A finite-data-window least squares algorithm with a forgetting factor for dynamical modeling
The residual based interactive stochastic gradient algorithms for controlled moving average models
Time series AR modeling with missing observations based on the polynomial transformation
Gradient-based iterative identification for MISO Wiener nonlinear systems: application to a glutamate fermentation process
Combined state and least squares parameter estimation algorithms for dynamic systems
Parameter identification of systems with preload nonlinearities based on the finite impulse response model and negative gradient search
A novel iterative identification based on the optimised topology for common state monitoring in wireless sensor networks
Auxiliary model‐based recursive least squares algorithm for two‐input single‐output Hammerstein output‐error moving average systems by using the hierarchical identification principle
Three-stage recursive least squares parameter estimation for controlled autoregressive autoregressive systems
New identification method for Hammerstein models based on approximate least absolute deviation
A novel dynamic nonlinear partial least squares based on the cascade structure
Hierarchical multi-innovation stochastic gradient identification algorithm for estimating a bilinear state-space model with moving average noise
Iterative solutions of the generalized Sylvester matrix equations by using the hierarchical identification principle
Convergence properties of the least squares estimation algorithm for multivariable systems
Two identification methods for dual-rate sampled-data nonlinear output-error systems
Generalized continuous mixed p‐norm based sliding window algorithm for a bilinear system with impulsive noise
Gradient-based iterative parameter estimation for Box-Jenkins systems
A filtering based recursive least squares estimation algorithm for pseudo-linear auto-regressive systems
On consistency of recursive least squares identification algorithms for controlled auto-regression models
An efficient conjugate gradient based Cholesky CMA‐ES estimation algorithm for nonlinear systems
Convergence of HLS estimation algorithms for multivariable ARX-like systems
Iterative solutions of a set of matrix equations by using the hierarchical identification principle
Decomposition-based maximum likelihood gradient iterative algorithm for multivariate systems with colored noise
Multiple-model state-space system identification with time delay using the EM algorithm
Time‐delay and parameter estimation for an ARX model based on copula theory and Armijo criterion and their applications in the modeling of the dynamics of the UAV
Parameter and order estimation algorithms and convergence analysis for lithium‐ion batteries
Auxiliary model maximum likelihood gradient-based iterative identification for feedback nonlinear systems
Sliding window iterative identification for nonlinear closed-loop systems based on the maximum likelihood principle

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