Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process. (English) Zbl 0623.93071
From the text: ”The paper presents several mulistep implementations of optimal instrumental variable algorithms for estimating the AR parameters of an ARMA process. These algorithms provide asymptotically efficient estimates of the AR parameters at a modest computational cost. The performance of the proposed algorithms was illustrated by selected numerical examples.”
Reviewer: P.Morettin
MSC:
| 93E10 | Estimation and detection in stochastic control theory |
| 62F12 | Asymptotic properties of parametric estimators |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 65C99 | Probabilistic methods, stochastic differential equations |
| 68Q25 | Analysis of algorithms and problem complexity |
| 93E12 | Identification in stochastic control theory |
| 93E25 | Computational methods in stochastic control (MSC2010) |
