In this paper we discuss an estimation method for the unknown parameters of an ARMA-model when its inputs and outputs are measured with noise. In case the noise is normally distributed. the consistency and asymptotic normality of the estimator (in this case being the maximum likelihood estimator) is proved under some mild conditions and a consistent expression for the asymptotic covariance matrix is given.
|Place of Publication||Eindhoven|
|Publisher||Technische Universiteit Eindhoven|
|Number of pages||13|
|Publication status||Published - 1986|