Extimation and structure determination of multivariate input systems

DOI10.1016/0047-259X(90)90044-IzbMath0701.62089OpenAlexW2073408854MaRDI QIDQ914310

D. S. Poskitt

Publication date: 1990

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(90)90044-i

zbMATH Keywords

transfer functionasymptotic efficiencyConsistencyMcMillan degreeARMAX modelsKronecker indicesmodel selection criterionechelon canonical formmultivariate least squares regressionsparameter specificationparametric modelling of multivariate input output systemsthree stage estimation procedure

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

Related Items (1)

Identification of multivariate ARMA models

Cites Work

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