Experiment Design for Time Series Analysis: The Multivariate Case

DOI10.1137/0137028zbMath0418.62054OpenAlexW2081489638MaRDI QIDQ3851461

Graham C. Goodwin, Martin B. Zarrop, Robert L. Payne

Publication date: 1979

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0137028

zbMATH Keywords

optimal experiment designinformation matricesmultivariable time series analysisnormalized designs

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Optimal statistical designs (62K05) Non-Markovian processes: estimation (62M09)

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Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation ⋮ Optimal input design for the identification of linear multivariable systems with disjoint parametrization

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