Lattice algorithms for recursive instrumental variable methods

DOI10.1002/(SICI)1099-1115(199603)10:2/3%3C177::AID-ACS347%3E3.0.CO;2-NzbMATH Open0854.93139OpenAlexW2095528368MaRDI QIDQ4883775FDOQ4883775

Authors Jerry M. Mendel, Ananthram Swami

Publication date 21 August 1996

Full work available at URL https://doi.org/10.1002/(sici)1099-1115(199603)10:2/3%3C177::aid-acs347%3E3.0.co;2-n

zbMATH Keywords

parameter estimationARMAadaptive estimationinstrumental variable methodstransversal filtercross-correlation matrixautoregressive parameters estimationadaptive signal detectorscumulant-based lattice structuresdouble-lattice algorithmjoint process estimation problemlinear prediction algorithmprediction error filtersrecursive lattice algorithmsstatistical analysis of time seriestime- and order-recursive lattice filters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Identification in stochastic control theory (93E12)

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Cited in

(5)

• Recursive lattice forms for spectral estimation
• Application of the lattice filter to robust estimation of AR and ARMA models
• Instrumental variable methods for ARMA spectral estimation
• Finite data lattice algorithms for instrumental variable recursions
• scientific article; zbMATH DE number 3856289 (Why is no real title available?)

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