Time series AR modeling with missing observations based on the polynomial transformation

DOI10.1016/J.MCM.2009.11.016zbMATH Open1190.62157OpenAlexW2085336722MaRDI QIDQ984202FDOQ984202

Authors: J. Martínez 

Publication date: 16 July 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.11.016

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zbMATH Keywords

convergence properties

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Inductive learning models with missing values

Cited In (45)

• Recursive Gauss-Seidel algorithm for direct self-tuning control
• Title not available (Why is that?)
• Title not available (Why is that?)
• Gradient-based parameter estimation for input nonlinear systems with ARMA noises based on the auxiliary model
• A prediction method based on wavelet transform and multiple models fusion for chaotic time series
• Two recursive least squares parameter estimation algorithms for multirate multiple-input systems by using the auxiliary model
• An efficient hierarchical identification method for general dual-rate sampled-data systems
• Signal modeling using the gradient search
• A multi-innovation generalized extended stochastic gradient algorithm for output nonlinear autoregressive moving average systems
• Recursive parameter estimation algorithms and convergence for a class of nonlinear systems with colored noise
• Convergence analysis of weighted stochastic gradient identification algorithms based on latest-estimation for ARX models
• A property of the eigenvalues of the symmetric positive definite matrix and the iterative algorithm for coupled Sylvester matrix equations
• Auxiliary model based least squares parameter estimation algorithm for feedback nonlinear systems using the hierarchical identification principle
• Hierarchical least squares algorithms for single-input multiple-output systems based on the auxiliary model
• Least squares based iterative parameter estimation algorithm for multivariable controlled ARMA system modelling with finite measurement data
• Computation of matrix exponentials of special matrices
• Recursive parameter identification for fermentation processes with the multiple model technique
• An iterative least squares estimation algorithm for controlled moving average systems based on matrix decomposition
• Performance analysis of the AM-SG parameter estimation for multivariable systems
• Parameter estimation for nonlinear dynamical adjustment models
• Performance analysis of the auxiliary model-based least-squares identification algorithm for one-step state-delay systems
• Two-stage recursive least squares parameter estimation algorithm for output error models
• Title not available (Why is that?)
• Two-stage least squares based iterative estimation algorithm for CARARMA system modeling
• Parameter identification methods for an additive nonlinear system
• Aitken based modified Kalman filtering stochastic gradient algorithm for dual-rate nonlinear models
• Computing matrix functions using mixed interpolation methods
• Several gradient parameter estimation algorithms for dual-rate sampled systems
• Parameter and state estimation algorithm for single-input single-output linear systems using the canonical state space models
• Combined state and least squares parameter estimation algorithms for dynamic systems
• Parameter identification of systems with preload nonlinearities based on the finite impulse response model and negative gradient search
• Hierarchical least squares algorithms for nonlinear feedback system modeling
• Newton iterative identification for a class of output nonlinear systems with moving average noises
• Track irregularity time series analysis and trend forecasting
• Three-stage recursive least squares parameter estimation for controlled autoregressive autoregressive systems
• Signal frequency and parameter estimation for power systems using the hierarchical identification principle
• Performance analysis of the auxiliary-model-based multi-innovation stochastic Newton recursive algorithm for dual-rate systems
• Auxiliary model based multi-innovation algorithms for multivariable nonlinear systems
• Estimation and Identification of Space-Time ARMAX Models in the Presence of Missing Data
• On the Kronecker products and their applications
• Modified stochastic gradient identification algorithms with fast convergence rates
• Collaborative linear dynamical system identification by scarce relevant/irrelevant observations
• Information loss of extracted series in AR(1) model
• Methodologies for the estimation of missing observations in time series
• Least squares based iterative algorithm for the coupled Sylvester matrix equations

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