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

J.M. Vregelaar, ten

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

J.M. Vregelaar, ten

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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 language	English
Place of Publication	Eindhoven
Publisher	Technische Universiteit Eindhoven
Number of pages	13
Publication status	Published - 1986

Publication series

Name	Memorandum COSOR
Volume	8618
ISSN (Print)	0926-4493

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