Advanced methods of recursive time-series analysis

DOI10.1080/00207178308933046zbMath0511.62099OpenAlexW2094951216WikidataQ59988673 ScholiaQ59988673MaRDI QIDQ4749050

Peter C. Young, Anthony J. Jakeman

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

zbMATH Keywords

consistencyasymptotic efficiencyrecursive estimationstochastic dynamic systemsBox-Jenkins modelprediction error minimizationperformance comparisontransfer function modelerrors-in-variables representationoptimal generalized equation error methods

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Related Items

Smoothness priors transfer function estimation, Selecting the best linear transfer function model, Refined instrumental variable estimation: maximum likelihood optimization of a unified Box-Jenkins model, An indirect prediction error method for system identification, Recursive estimation: A unified approach to the identification, estimation, and forecasting of hydrological systems

Cites Work

• Unnamed Item
• Unnamed Item
• Theory and applications of adaptive control - a survey
• An instrumental variable method for model order identification
• Convergence properties of the generalised least squares identification method
• System identification. A survey
• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
• Some aspects of recursive parameter estimation
• Instrumental Variable Algorithms for Multiple Input Systems Described by Multiple Transfer Functions
• A recursive (on-line) maximum likelihood identification method
• Some observations on instrumental variable methods of time-series analysis
• Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
• Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems
• Least squares estimation in dynamic-disturbance time series models
• The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models