Fast GLS algorithm for parameter estimation

DOI10.1016/0005-1098(84)90030-XzbMATH Open0528.93071OpenAlexW95383015MaRDI QIDQ786741FDOQ786741

Authors: N. E. Zubov 

Publication date: 1984

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(84)90030-x

zbMATH Keywords

parameter estimationleast-squares methodoff-line algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cites Work

• Some observations on instrumental variable methods of time-series analysis
• Test of pole-zero cancellation in estimated models
• System identification. A survey
• Non-convergence of the approximate maximum likelihood identification algorithm
• Convergence properties of the generalised least squares identification method
• Title not available (Why is that?)
• On least squares algorithms for system parameter identification

Cited In (1)

• Recursive identification of transfer function matrix in continuous systems via linear integral filter

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