Some modifications on the refined instrumental variable method†

DOI10.1080/00207728508926684zbMath0566.93057OpenAlexW2090300438MaRDI QIDQ3682354

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Publication date: 1985

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728508926684

zbMATH Keywords

modificationsprefilteroptimal instrumental variable methodcompensated-bias LS estimator

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• A theoretical analysis of recursive identification methods
• Comparison of some instrumental variable methods - consistency and accuracy aspects
• Optimal instrumental variable estimation and approximate implementations
• Recursive parameter estimation of an autoregressive process disturbed by white noise
• Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems
• A bootstrap method for the statistical estimation of model parameters†