• DocumentCode
    3068770
  • Title

    Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process

  • Author

    Stoica, P. ; Friedlander, B. ; Soderstrom, T.

  • Author_Institution
    Institutul Politechnic Bucuresti, Bucharest, Romania
  • fYear
    1985
  • fDate
    11-13 Dec. 1985
  • Firstpage
    1087
  • Lastpage
    1092
  • Abstract
    Multistep implementations are derived for the optimal instrumental variable (OIV) estimators introduced in [1]. The proposed algorithms provide asymptotically efficient estimates of the AR parameters of an ARMA process. The computational complexity of these algorithms is modest compared to the (exact) maximum likelihood estimator.
  • Keywords
    Instruments; Optimal control;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1985 24th IEEE Conference on
  • Conference_Location
    Fort Lauderdale, FL, USA
  • Type

    conf

  • DOI
    10.1109/CDC.1985.268668
  • Filename
    4048468
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3068770