Estimation of trends and identification of time series dynamics in short observation sections

DOI10.1134/S1064230709010018zbMath1194.93203OpenAlexW2090630790MaRDI QIDQ1040185

A. A. Lomov

Publication date: 24 November 2009

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064230709010018

zbMATH Keywords

time serieslinear difference equationsrandom disturbances

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Synthesis problems (93B50)

Related Items (1)

On quantitative a priori measures of identifiability of coefficients of linear dynamic systems

Cites Work

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• Identification of the parameters of autoregression equations by the method of least squares in the case of additive measurement errors
• Trend estimation and de-trending via rational square-wave filters
• Optimization of parameters of stationary models in a unitary space
• Formulation and Implementation of a Practical Algorithm for Parameter Estimation with Process and Measurement Noise
• Orthoregressive estimates for the parameters of systems of linear difference equations

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