Abstract
| 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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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/Report › Report › Academic
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 -