Uniqueness of prediction error estimates of multivariable moving average models

DOI10.1016/0005-1098(82)90013-9zbMath0503.93065OpenAlexW2487589595MaRDI QIDQ1835634

Torsten Söderström, Petre Stoica

Publication date: 1982

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(82)90013-9

zbMATH Keywords

parameter estimationprediction error criterionmultivariable autoregressive systems

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items (3)

Gradient Descent Learns Linear Dynamical Systems ⋮ Uniqueness of estimated k-step prediction models of ARMA processes ⋮ On the martingale approximation of the estimation error of ARMA parameters

Cites Work

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• Some properties of the output error method
• Convergence properties of the generalised least squares identification method
• On the uniqueness of maximum likelihood identification
• On the problem of ambiguities in maximum likelihood identification
• Introduction to stochastic control theory
• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model
• Prediction error identification methods for stationary stochastic processes
• Stationary linear and nonlinear system identification and predictor set completeness
• Convergence analysis of parametric identification methods
• On the Maximum Likelihood Method of Identification

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