Recursive estimation of linear systems

DOI10.1093/BIOMET/73.1.119MaRDI QIDQ3740092zbMATH OpenOpenAlexFDO

Authors E. J. Hannan, M. Mackisack, Laimonis Kavalieris

Publication date 1986

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/73.1.119

zbMATH Keywords

algorithmsautoregressive moving average with exogenous inputcentral limit theoremGivens transformationsreal time calculationsrecursive estimationscalar linear system with rational transfer functionthree-stage procedure of estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Linear systems in control theory (93C05)

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Cited in

(18)

• Recursive estimation of autoregression parameters
• Recursions for the two-stage least-squares estimators
• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
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• Recursive estimator of the solutions of linear equation sequence
• A Representation Theorem for the Error of Recursive Estimators
• Asymptotic accuracy of the Aitken-Markov estimator
• scientific article; zbMATH DE number 3934902 (Why is no real title available?)
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• RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• THE ESTIMATION OF THE ORDER OF AN AUTOREGRESSION USING RECURSIVE RESIDUALS AND CROSS-VALIDATION
• COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
• THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE
• Recursive estimation methods for discrete systems
• A new recursive estimation method for single input single output models
• Recursive estimation based on an extended observation vector

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