A maximum likelihood identification method for stable autoregressive linear systems†

DOI10.1080/00207728208926328zbMath0474.93066OpenAlexW2058236902MaRDI QIDQ3931285

Manabu Ichino, Isamu Shioya, Hiroshi Inaba

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1080/00207728208926328

zbMATH Keywords

numerical resultsmaximum likelihood estimatesstability conditionmaximum likelihood identification methodstable autoregressive linear systems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Stationary stochastic processes (60G10) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12) Stochastic stability in control theory (93E15) Analysis of variance and covariance (ANOVA) (62J10)

Cites Work

• Parameter estimation for auto-regressive systems with missing observations
• Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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