Identification of the parameters of autoregression equations by the method of least squares in the case of additive measurement errors

zbMath0505.93074MaRDI QIDQ1836658

O. A. Katsyuba, A. I. Zhdanov

Publication date: 1982

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

weighted least squaresnonlinear estimationadditive nonstationary measurement errorsautoregression equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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