Estimation of continuous-time autoregressive model from finely sampled data

DOI10.1109/78.863060zbMath0986.94011OpenAlexW2126893830MaRDI QIDQ2734394

Dinh Tuan Pham

Publication date: 13 December 2001

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/78.863060

zbMATH Keywords

maximum likelihoodbias correctionLevinson-Durbin algorithmcontinuous-time autoregressive modelautoregressive polynomial

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (3)

A generalization of the ARIMA model to the nonlinear and continuous cases ⋮ Stationary Gaussian Markov processes as limits of stationary autoregressive time series ⋮ Subspace-based continuous-time identification of fractional order systems from non-uniformly sampled data

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