Order-recursive methods for instrumental variable estimates and instrumental variable inverses

DOI10.1080/00207728708967166zbMath0635.93070OpenAlexW2009187987MaRDI QIDQ3775449

Xian-Da Zhang, Hiroshi Takeda

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1080/00207728708967166

zbMATH Keywords

instrumental variable estimatesautoregressive moving-average with exogeneous input) modelsnested matricesrecursive-in-order computation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Theory of matrix inversion and generalized inverses (15A09) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cites Work

• An order recursive generalized least squares algorithm for system identification
• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
• Strongly consistent parameter estimation by the introduction of strong instrumental variables
• On least squares algorithms for system parameter identification
• A generalized pseudoinverse algorithm for unbiased parameter estimation
• Some observations on instrumental variable methods of time-series analysis
• On-Line Identification in an Unknown Stochastic Environment
• A new look at the statistical model identification

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