On parameter estimation of partly observed bilinear discrete-time stochastic systems

DOI10.1007/s00184-010-0333-5zbMath1239.62100OpenAlexW2029922078MaRDI QIDQ427490

J. Herrera, H. S. Yoon

Publication date: 13 June 2012

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-010-0333-5

zbMATH Keywords

asymptotic and sequential estimationmultiplicative and additive noisesmultivariate autoregressive processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Non-Markovian processes: estimation (62M09) Sequential estimation (62L12)

Related Items

A truncated estimation method with guaranteed accuracy, Risk-efficient sequential estimation of multivariate random coefficient autoregressive process, On Optimal Adaptive Prediction of Multivariate Autoregression

Cites Work

• Unnamed Item
• Markov chains and stochastic stability
• The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
• On certain unbiased ratio estimators
• Optimal stochastic control for discrete-time linear system with interrupted observations
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Asymptotic stability of the MMSE linear filter for systems with uncertain observations (Corresp.)
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• Parameter estimation and linear system identification with randomly interrupted observations (Corresp.)
• Consistent Estimates of the Parameters of a Linear System