Bayesian-like autoregressive spectrum estimation in the case of unknown process order

DOI10.1109/TAC.1985.1103818zbMath0572.93067MaRDI QIDQ3690723

Maciej Niedźwiecki

Publication date: 1985

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

priorvector autoregressive processestimation of the parametersBayesian technique

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Foundations and philosophical topics in statistics (62A01) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items (3)

On adaptive covariance and spectrum estimation of locally stationary multivariate processes ⋮ use of neural networks for system structure identification ⋮ AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms

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