Fast GLS algorithm for parameter estimation

DOI10.1016/0005-1098(84)90030-XMaRDI QIDQ786741zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3748882 (Why is no real title available?)
• Convergence properties of the generalised least squares identification method
• Non-convergence of the approximate maximum likelihood identification algorithm
• On least squares algorithms for system parameter identification
• Some observations on instrumental variable methods of time-series analysis
• System identification. A survey
• Test of pole-zero cancellation in estimated models

Cited in

(1)

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

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