Will the PLS criterion for order estimation work with AML and a posteriori prediction error?

DOI10.1016/0167-6911(90)90085-9zbMath0703.93069OpenAlexW2004279859MaRDI QIDQ916627

Elder Moreira Hemerly, Marcelo Dutra Fragoso

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)90085-9

zbMATH Keywords

ARMA modelspredictive least squaresapproximate maximum likelihoodorder estimation

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Cites Work

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• Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
• Nonstationary time series identification
• Strong consistency of the PLS criterion for order determination of autoregressive processes
• Strongly consistent estimation of the order of stochastic control systems (CARMA model)
• A Predictive Least-Squares Principle
• Recursive order estimation of stochastic control systems
• Convergence rate of least-squares identification and adaptive control for stochastic systems†
• The convergence of AML
• Local Convergence of Martingales and the Law of Large Numbers
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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