Advanced methods of recursive time-series analysis
DOI10.1080/00207178308933046zbMATH Open0511.62099OpenAlexW2094951216WikidataQ59988673 ScholiaQ59988673MaRDI QIDQ4749050FDOQ4749050
Authors: A. J. Jakeman, Peter Young 
Publication date: 1983
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207178308933046
consistencyasymptotic efficiencyrecursive estimationstochastic dynamic systemsBox-Jenkins modelprediction error minimizationperformance comparisontransfer function modelerrors-in-variables representationoptimal generalized equation error methods
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)
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Cited In (5)
- Recursive estimation: A unified approach to the identification, estimation, and forecasting of hydrological systems
- Refined instrumental variable estimation: maximum likelihood optimization of a unified Box-Jenkins model
- Smoothness priors transfer function estimation
- Selecting the best linear transfer function model
- An indirect prediction error method for system identification
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