Asymptotic accuracy of the Aitken-Markov estimator

DOI10.1080/0020718508961190zbMath0566.93056OpenAlexW1994706268MaRDI QIDQ3682353

Petre Stoica, Torsten Söderström

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1080/0020718508961190

zbMATH Keywords

asymptotic efficiencydiscrete-time stochastic systemAitken-Markov estimatorthree-step GLS procedure

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03)

Cites Work

• Dynamic system identification. Experiment design and data analysis
• Comparison of some instrumental variable methods - consistency and accuracy aspects
• The structure of simultaneous equations estimators
• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• Optimal instrumental variable estimation and approximate implementations
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