Uniqueness of prediction error estimates of multivariable moving average models

DOI10.1016/0005-1098(82)90013-9MaRDI QIDQ1835634zbMATH OpenOpenAlexFDO

Authors Petre Stoica, Torsten Söderström

Publication date 1982

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(82)90013-9

zbMATH Keywords

parameter estimationprediction error criterionmultivariable autoregressive systems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• Convergence analysis of parametric identification methods
• Convergence properties of the generalised least squares identification method
• Introduction to stochastic control theory
• On the Maximum Likelihood Method of Identification
• On the problem of ambiguities in maximum likelihood identification
• On the uniqueness of maximum likelihood identification
• Prediction error identification methods for stationary stochastic processes
• Some properties of the output error method
• Stationary linear and nonlinear system identification and predictor set completeness
• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model

Cited in

(3)

• Gradient descent learns linear dynamical systems
• Uniqueness of estimated k-step prediction models of ARMA processes
• On the martingale approximation of the estimation error of ARMA parameters

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