On the martingale approximation of the estimation error of ARMA parameters

DOI10.1016/0167-6911(90)90066-4zbMATH Open0729.93075OpenAlexW2089468098MaRDI QIDQ807566FDOQ807566

Authors: László Gerencsér 

Publication date: 1990

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(90)90066-4

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zbMATH Keywords

martingale approximationRissanen's tail condition

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Cites Work

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• Vector linear time series models
• Stochastic complexity and modeling
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• On covariance function tests used in system identification
• Some Results on the Complete and Almost Sure Convergence of Linear Combinations of Independent Random Variables and Martingale Differences
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
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• Multivariate linear time series models
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• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model
• On a class of mixing processes
• The strong consistency of maximum likelihood estimators for ARMA processes
• Uniqueness of prediction error estimates of multivariable moving average models
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Cited In (6)

• On the computation of the Cramer-Rao bound for ARMA parameter estimation
• On Rissanen's predictive stochastic complexity for stationary ARMA processes
• Strong approximation of the recursive prediction error estimator of the parameters of an ARMA process
• Fixed-gain estimation in continuous time
• A two-stage information criterion for stochastic systems revisited
• Rate of convergence of the LMS method

Uses Software

• GAUSSIAN

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