Multidimensional and strong Gevers-Wouters algorithm for estimating moving average parameters and its application to the construction of the ARMA innovation model

zbMATH Open1031.93152MaRDI QIDQ2766034

Zili Deng

Publication date: 21 May 2002

Published in: Control Theory \& Applications (Search for Journal in Brave)

zbMATH Keywords

stabilityparameter estimationspectral factorizationautoregressive moving average innovation modelGevers-Wouters algorithmmultidimensional moving average processstable MA process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Multivariable systems, multidimensional control systems (93C35) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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