ARMA identification

DOI10.1007/BF00941173zbMath0618.93066OpenAlexW2974543178MaRDI QIDQ1089301

B. George

Publication date: 1987

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00941173

zbMATH Keywords

spectral identificationautoregressive moving average (ARMA) processesHankel matrix of moment estimatessuccessive 1-step predictors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cites Work

• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Identification and filtering
• Machine independent monte carlo evaluation of the performance of dynamic stochastic systems
• Mathematical Description of Linear Dynamical Systems
• The Synthesis of Linear Dynamical Systems from Prescribed Weighting Patterns
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