On the martingale approximation of the estimation error of ARMA parameters

DOI10.1016/0167-6911(90)90066-4zbMath0729.93075OpenAlexW2089468098MaRDI QIDQ807566

László Gerencsér

Publication date: 1990

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(90)90066-4

zbMATH Keywords

martingale approximationRissanen's tail condition

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Related Items

Fixed-gain estimation in continuous time ⋮ On Rissanen's predictive stochastic complexity for stationary ARMA processes ⋮ A two-stage information criterion for stochastic systems revisited ⋮ Rate of convergence of the LMS method ⋮ Strong approximation of the recursive prediction error estimator of the parameters of an ARMA process

Uses Software

• GAUSSIAN

Cites Work

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