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

J.M. Vregelaar, ten

    Research output: Book/ReportReportAcademic

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    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

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