A method for adaptive estimation of ARMA processes

DOI10.1016/0167-6911(88)90092-8zbMath0672.93066OpenAlexW2044737478MaRDI QIDQ1120537

Chen, Hanfu, Lei Guo

Publication date: 1988

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(88)90092-8

zbMATH Keywords

strictly positive reallinear stochastic systemsadaptive identificationautoregressive moving average processesextended least squares algorithmsnoise process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10)

Cites Work

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• Autocorrelation, autoregression and autoregressive approximation
• Rational transfer function approximation (with discussion)
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• A method for autoregressive-moving average estimation
• Counterexamples to general convergence of a commonly used recursive identification method

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