Advanced methods of recursive time-series analysis

DOI10.1080/00207178308933046MaRDI QIDQ4749050zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

asymptotic efficiencyBox-Jenkins modelconsistencyerrors-in-variables representationoptimal generalized equation error methodsperformance comparisonprediction error minimizationrecursive estimationstochastic dynamic systemstransfer function model

Mathematics Subject Classification ID

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)

Cites work

• A recursive (on-line) maximum likelihood identification method
• An instrumental variable method for model order identification
• Convergence properties of the generalised least squares identification method
• Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
• scientific article; zbMATH DE number 3483887 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Instrumental Variable Algorithms for Multiple Input Systems Described by Multiple Transfer Functions
• Least squares estimation in dynamic-disturbance time series models
• Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems
• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
• Some aspects of recursive parameter estimation
• Some observations on instrumental variable methods of time-series analysis
• System identification. A survey
• The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models
• Theory and applications of adaptive control - a survey

Cited in

(5)

• Selecting the best linear transfer function model
• 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
• An indirect prediction error method for system identification
• Smoothness priors transfer function estimation

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