Parameter estimation for auto-regressive systems with missing observations

DOI10.1080/00207728008967071zbMath0451.93054OpenAlexW2076950804MaRDI QIDQ3898408

D. N. Prabhakar Murthy, P. B. McGiffin

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1080/00207728008967071

zbMATH Keywords

consistencyprediction errorARMA processmissing data

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items (4)

Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data ⋮ A new type of parameter estimation algorithm for missing data problems ⋮ Parameter estimation for auto-regressive systems with missing observations—Part II ⋮ A maximum likelihood identification method for stable autoregressive linear systems†

Cites Work

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• A note on the time series which is the product of two stationary time series
• Missing Data in an Autoregressive Model

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