Mean-square convergence of least-squares identification of white-noise-driven time-series models

DOI10.1080/00207727808941719zbMath0385.93047OpenAlexW2080872488MaRDI QIDQ4166672

Daniel Graupe, Eli Fogel

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1080/00207727808941719

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Related Items (1)

Convergence of least squares identifiers of time series with martingale difference and binary white Markov generating processes

Cites Work

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• Consistency and Limit Distributions of Estimators of Parameters in Explosive Stochastic Difference Equations
• Convergence of least squares parameter estimates of weakly stationary time series models driven by uncorrelated processes
• Convergence of least squares identification algorithms applied to unstable stochastic processes
• On the Statistical Treatment of Linear Stochastic Difference Equations

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