Recursive estimation of linear systems

DOI10.1093/biomet/73.1.119zbMath0603.62106OpenAlexW1965232247MaRDI QIDQ3740092

E. J. Hannan, M. Mackisack, Laimonis Kavalieris

Publication date: 1986

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/73.1.119

zbMATH Keywords

algorithmscentral limit theoremrecursive estimationGivens transformationsreal time calculationsautoregressive moving average with exogenous inputscalar linear system with rational transfer functionthree-stage procedure of estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear systems in control theory (93C05) Inference from stochastic processes (62M99)

Related Items (5)

Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS ⋮ THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE ⋮ COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY ⋮ THE ESTIMATION OF THE ORDER OF AN AUTOREGRESSION USING RECURSIVE RESIDUALS AND CROSS-VALIDATION

This page was built for publication: Recursive estimation of linear systems