Min-max optimal instrumental variable estimation method for multivariate linear time-series systems

DOI10.1080/00207178908953409zbMath0689.93058OpenAlexW2127147599MaRDI QIDQ3032170

Petre Stoica, Jan G. De Gooijer

Publication date: 1989

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178908953409

zbMATH Keywords

linear time seriesmin-max optimal instrumental variable estimation method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

Uses Software

• AS 183

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• An instrumental variable method for model order identification
• Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors
• Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey
• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
• A recursive approach to time-series analysis for multi-variable systems
• Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems
• Generalized Yule-Walker equations and testing the orders of multivariate time series
• Block Toeplitz Matrix Inversion

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