Generalized Yule-Walker equations and testing the orders of multivariate time series

DOI10.1080/00207178308933037zbMath0509.93063OpenAlexW1967216868WikidataQ126245826 ScholiaQ126245826MaRDI QIDQ4749710

Petre Stoica

Publication date: 1983

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178308933037

zbMATH Keywords

multivariate time seriesautoregressive moving average modelsgeneralized Yule-Walker equationsmatrix- fraction description

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Identification in stochastic control theory (93E12) Observability (93B07)

Related Items (7)

Recursive identification of errors-in-variables Wiener systems ⋮ Recursive identification for EIV ARMAX systems ⋮ Recursive identification for multivariate errors-in-variables systems ⋮ Identifiability and persistent excitation in full matrix fraction parameter estimation ⋮ Identification of errors-in-variables systems with ARMA observation noises ⋮ Min-max optimal instrumental variable estimation method for multivariate linear time-series systems ⋮ Hankel matrices for system identification

Cites Work

• On a procedure for testing the order of time series
• Stochastic theory of minimal realization
• Generalized Bezoutian and Sylvester matrices in multivariable linear control

This page was built for publication: Generalized Yule-Walker equations and testing the orders of multivariate time series