Non-iterative optimal min-max instrumental variable method for system identification

DOI10.1080/00207178808906134zbMath0647.93070OpenAlexW2066654178MaRDI QIDQ3792609

Petre Stoica, Arye Nehorai

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1080/00207178808906134

zbMATH Keywords

parameter estimationmin-max problemoptimal instrumental variable methodsquadratic error criterion

Mathematics Subject Classification ID

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) Identification in stochastic control theory (93E12)

Cites Work

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• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process
• Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems

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