Recursive estimation and time-series analysis. An introduction

zbMATH Open0544.62081MaRDI QIDQ796948FDOQ796948

Publication date: 1984

Published in: Communications and Control Engineering (Search for Journal in Brave)

data analysis instrumental variables least squares recursive estimation maximum likelihood method extended Kalman filter approach polynomial matrix description prediction error minimization stochastic model building time-series estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Stochastic approximation (62L20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

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Comment on `\textit{Projection-based identification algorithm for grey-box continuous-time models}' by Ichiro Maruta and Toshiharu Sugie
Invariant graphs for forced systems
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Construction of composite models from observed data
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Identification of systems from non-uniformly sampled data
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