Iterative Least Squares Estimation and Identification of the Transfer Function Model

DOI10.1111/1467-9892.00069zbMath0910.62084OpenAlexW2028835540MaRDI QIDQ4379710

Daniel A. Muller, William W. S. Wei

Publication date: 4 March 1998

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00069

zbMATH Keywords

time seriesautocovariance functionmodel identificationcross-correlation functionYule-Walker equationsleast squares estimatestransfer function models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Sequential estimation (62L12)

Related Items (1)

Time series analysis of covariance based on linear transfer function models

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