Recursive parameter estimation of an autoregressive process disturbed by white noise

DOI10.1080/00207177908922826zbMath0424.62065OpenAlexW1985503863MaRDI QIDQ3859153

Masahiro Arase, Hideaki Sakai

Publication date: 1979

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

Full work available at URL: https://doi.org/10.1080/00207177908922826

zbMATH Keywords

white noiseperiodogramautoregressive processerror covariance matrixYule-Walker equationsCramer-Rao boundrecursive parameter estimationbootstrap estimatormodified least-squares estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random number generation in numerical analysis (65C10) Sequential estimation (62L12)

Related Items (7)

MAXIMUM LIKELIHOOD ESTIMATION FOR AUTOREGRESSIVE PROCESSES DISTURBED BY A MOVING AVERAGE ⋮ Testing for a unit root in an arima(p,1,0) signal observed with ma(q) noise ⋮ ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING ⋮ Identification of stochastic linear systems in presence of input noise ⋮ Maximum likelihood estimation for arma models in the presence of ARMA errors ⋮ Some modifications on the refined instrumental variable method† ⋮ A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise

Cites Work

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• On-line modified least-squares parameter estimation of linear discrete dynamic systems
• The Role of Spectral Analysis in Time Series Analysis
• A bootstrap method for the statistical estimation of model parameters†

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