On the generalized least squares estimator of an ARMAX model. Application to the identification of ARMA models

zbMath0737.62074MaRDI QIDQ1181807

Bernard Bercu

Publication date: 27 June 1992

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1991__27_3_425_0

zbMATH Keywords

strong consistencyunstable casesalmost sure asymptotic behaviour of trajectoriesalmost sure rates of convergencecomplex multivariate ARMA modelcomplex multivariate ARMAX modelexplosive regular caseextended least squares estimatorhypothesis of passivityprediction errorsrecursive AML schemestable cases

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (2)

Generalized maximum entropy based identification of graphical ARMA models ⋮ Identification/prediction algorithms for armax models with relaxed positive real conditions

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