Recursive estimation and time-series analysis. An introduction

zbMath0544.62081MaRDI QIDQ796948

Publication date: 1984

Published in: Communications and Control Engineering (Search for Journal in Brave)

data analysis least squares maximum likelihood method instrumental variables recursive estimation extended Kalman filter approach polynomial matrix description prediction error minimization stochastic model building time-series estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Stochastic approximation (62L20) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Seasonality in COVID-19 times, On exponential convergence and robustness of least-squares identification, On the development and application of a continuous-discrete recursive prediction error algorithm, Unnamed Item, Construction of composite models from observed data, Adaptive stepsizes for recursive estimation with applications in approximate dynamic programming, Unobserved component models applied to the assessment of wear in railway points: a case study, Heterarchical reinforcement-learning model for integration of multiple cortico-striatal loops: fMRI examination in stimulus-action-reward association learning, Linear least-squares algorithms for temporal difference learning, System identification from noisy measurements by using instrumental variables and subspace fitting, ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS, Updating linear models with dependent errors to include additional data and/or parameters, A Review of Some Modern Approaches to the Problem of Trend Extraction, Invariant graphs for forced systems, Conjectures, learning, and equilibria in monopolistic competition, Estimation of physical parameters for dynamic processes with application to an industrial robot, A new look at the statistical identification of nonstationary systems, Autoregressive and adaptive estimation with an application to hurricane track prediction, Identification of systems from non-uniformly sampled data, Analytical uses of Kalman filtering in econometrics — A survey, Using fuzzy controllers as adaptive procedures in the finite element method, Improved least squares identification, Incremental Granular Fuzzy Modeling Using Imprecise Data Streams, Stochastic Filtering Methods in Electronic Trading, Comment on `\textit{Projection-based identification algorithm for grey-box continuous-time models}' by Ichiro Maruta and Toshiharu Sugie, On Theil's errors, Gauss, Kalman and advances in recursive parameter estimation, Recursive estimation in econometrics, State dependent models of stock returns, Realistic forecasting of groundwater level, based on the eigenstructure of aquifer dynamics, Linear time-varying models to investigate complex distributed dynamics: A rainfall-runoff example, Randomization of data acquisition and \(\ell_{1}\)-optimization (recognition with compression), An application of the Kalman filtering technique for streamflow forecasting in the Upper Murray Basin, Refined instrumental variable methods for identification of LPV Box-Jenkins models, Recursive and en-bloc approaches to signal extraction, Model combination in neural-based forecasting, On exponentially weighted recursive least squares for estimating time-varying parameters and its application to computer workload forecasting, Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances, Automatic variance control and variance estimation loops, Unnamed Item, Predictive self-tuning control by parameter bounding and worst-case design, Adaptation and tracking in system identification - a survey, Numerical integration approach to on-line identification of continuous- time systems, Output error MISO system identification using fractional models, An applied study on recursive estimation methods, neural networks and forecasting, A systems approach to recursive economic forecasting and seasonal adjustment, A unified approach to environmental systems modeling, Refined instrumental variable estimation: maximum likelihood optimization of a unified Box-Jenkins model, Unnamed Item, Properties of higher order stochastic cycles, A univariate model for long-term streamflow forecasting. II: Application, An indirect prediction error method for system identification, Recursive estimation: A unified approach to the identification, estimation, and forecasting of hydrological systems, Unnamed Item, Recursive prediction of chaotic time series, On instrumental variable and total least squares approaches for identification of noisy systems, Comment on 'Residual models and stochastic realization in state-space system identification' by R. Johansson et al., Comments on 'On the estimation of continuous-time transfer functions' by L. Wang and P. Gawthrop