Recursive covariance ladder algorithms for ARMA system identification

DOI10.1109/29.1559MaRDI QIDQ3798569zbMATH OpenOpenAlexFDO

Authors Peter Strobach

Publication date 1988

Published in IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/29.1559

zbMATH Keywords

ARMA least-squares estimation problemPure Order Recursive Ladder Algorithm

Mathematics Subject Classification ID

Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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(6)

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