Convergence analysis of ladder algorithms for AR and ARMA models

DOI10.1016/0005-1098(86)90032-4zbMath0592.93070OpenAlexW2065180676MaRDI QIDQ1075991

Bo Egardt, Sedat Ölçer, Martin Morf

Publication date: 1986

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(86)90032-4

zbMATH Keywords

positive realnessconvergence propertiesautoregressive modelsautoregressive moving-average modelsexact recursive least-squares ladder/lattice algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Stability of solutions to ordinary differential equations (34D20)

Cites Work

• Non-convergence of the approximate maximum likelihood identification algorithm
• Convergence properties of an adaptive digital lattice filter
• Convergence models for lattice joint process estimators and least squares algorithms
• On positive real transfer functions and the convergence of some recursive schemes
• Analysis of recursive stochastic algorithms
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