On estimating the parameters of an ARMA-model from noisy measurements of inputs and outputs

J.M. Vregelaar, ten

    Research output: Book/ReportReportAcademic

    16 Downloads (Pure)

    Abstract

    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.
    Original languageEnglish
    Place of PublicationEindhoven
    PublisherTechnische Universiteit Eindhoven
    Number of pages13
    Publication statusPublished - 1986

    Publication series

    NameMemorandum COSOR
    Volume8618
    ISSN (Print)0926-4493

    Fingerprint

    Asymptotic Covariance Matrix
    ARMA Model
    Asymptotic Normality
    Maximum Likelihood Estimator
    Unknown Parameters
    Estimator
    Output

    Cite this

    Vregelaar, ten, J. M. (1986). On estimating the parameters of an ARMA-model from noisy measurements of inputs and outputs. (Memorandum COSOR; Vol. 8618). Eindhoven: Technische Universiteit Eindhoven.
    Vregelaar, ten, J.M. / On estimating the parameters of an ARMA-model from noisy measurements of inputs and outputs. Eindhoven : Technische Universiteit Eindhoven, 1986. 13 p. (Memorandum COSOR).
    @book{5b29b4dc0bc444fc8dc7cfc96a14897a,
    title = "On estimating the parameters of an ARMA-model from noisy measurements of inputs and outputs",
    abstract = "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.",
    author = "{Vregelaar, ten}, J.M.",
    year = "1986",
    language = "English",
    series = "Memorandum COSOR",
    publisher = "Technische Universiteit Eindhoven",

    }

    Vregelaar, ten, JM 1986, On estimating the parameters of an ARMA-model from noisy measurements of inputs and outputs. Memorandum COSOR, vol. 8618, Technische Universiteit Eindhoven, Eindhoven.

    On estimating the parameters of an ARMA-model from noisy measurements of inputs and outputs. / Vregelaar, ten, J.M.

    Eindhoven : Technische Universiteit Eindhoven, 1986. 13 p. (Memorandum COSOR; Vol. 8618).

    Research output: Book/ReportReportAcademic

    TY - BOOK

    T1 - On estimating the parameters of an ARMA-model from noisy measurements of inputs and outputs

    AU - Vregelaar, ten, J.M.

    PY - 1986

    Y1 - 1986

    N2 - 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.

    AB - 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.

    M3 - Report

    T3 - Memorandum COSOR

    BT - On estimating the parameters of an ARMA-model from noisy measurements of inputs and outputs

    PB - Technische Universiteit Eindhoven

    CY - Eindhoven

    ER -

    Vregelaar, ten JM. On estimating the parameters of an ARMA-model from noisy measurements of inputs and outputs. Eindhoven: Technische Universiteit Eindhoven, 1986. 13 p. (Memorandum COSOR).