A new multivariate equation-error autoregressive moving average system with conditional heteroscedastic noise: Maximum likelihood identification

Digital Signal Processing ◽

10.1016/j.dsp.2021.103213 ◽

2021 ◽

pp. 103213

Author(s):

Hamidreza Hakimdavoodi ◽

Maryam Amirmazlaghani ◽

Hamidreza Amindavar

Keyword(s):

Maximum Likelihood ◽

Moving Average ◽

Autoregressive Moving Average ◽

Equation Error ◽

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Maximum Likelihood Recursive Identification for the Multivariate Equation-Error Autoregressive Moving Average Systems Using the Data Filtering

IEEE Access ◽

10.1109/access.2019.2905576 ◽

2019 ◽

Vol 7 ◽

pp. 41154-41163 ◽

Author(s):

Lijuan Liu ◽

Feng Ding ◽

Ling Xu ◽

Jian Pan ◽

Ahmed Alsaedi ◽

...

Keyword(s):

Maximum Likelihood ◽

Moving Average ◽

Recursive Identification ◽

Autoregressive Moving Average ◽

Data Filtering ◽

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Recursive maximum likelihood identification method for a multivariable controlled autoregressive moving average system

IMA Journal of Mathematical Control and Information ◽

10.1093/imamci/dnv021 ◽

2015 ◽

Vol 33 (4) ◽

pp. 1015-1031 ◽

Author(s):

Dongqing Wang ◽

Yanpu Gao

Keyword(s):

Maximum Likelihood ◽

Moving Average ◽

Autoregressive Moving Average ◽

Identification Method ◽

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Maximum likelihood extended gradient‐based estimation algorithms for the input nonlinear controlled autoregressive moving average system with variable‐gain nonlinearity

International Journal of Robust and Nonlinear Control ◽

10.1002/rnc.5450 ◽

2021 ◽

Author(s):

Ximei Liu ◽

Yamin Fan

Keyword(s):

Maximum Likelihood ◽

Moving Average ◽

Autoregressive Moving Average ◽

Variable Gain ◽

Estimation Algorithms ◽

Average System ◽

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Maximum likelihood identification of dual-rate Hammerstein output-error moving average system

IET Control Theory and Applications ◽

10.1049/iet-cta.2019.0419 ◽

2020 ◽

Vol 14 (8) ◽

pp. 1089-1101 ◽

Author(s):

Junhong Li ◽

Jiali Zhang

Keyword(s):

Maximum Likelihood ◽

Moving Average ◽

Output Error ◽

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Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors

10.1214/aos/1030563979 ◽

1998 ◽

Vol 26 (1) ◽

pp. 84-125 ◽

Author(s):

Shiqing Ling ◽

W. K. Li

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Moving Average ◽

Maximum Likelihood Estimators ◽

Autoregressive Moving Average ◽

Limiting Distributions ◽

Heteroscedastic Errors

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Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models

10.21236/ada060867 ◽

1978 ◽

Author(s):

Theodore W. Anderson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

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On Maximum Likelihood Estimation of Parameters of Autoregressive Moving Average Processes

Transactions of the Seventh Prague Conference on Information Theory, Statistical Decision Functions, Random Processes and of the 1974 European Meeting of Statisticians ◽

10.1007/978-94-010-9910-3_4 ◽

1977 ◽

pp. 37-45 ◽

Author(s):

T. W. Anderson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Estimation Of Parameters ◽

Moving Average Processes

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Filtering-Based Maximum Likelihood Gradient Iterative Estimation Algorithm for Bilinear Systems with Autoregressive Moving Average Noise

Circuits Systems and Signal Processing ◽

10.1007/s00034-018-0800-1 ◽

2018 ◽

Vol 37 (11) ◽

pp. 5023-5048 ◽

Author(s):

Meihang Li ◽

Ximei Liu ◽

Feng Ding

Keyword(s):

Maximum Likelihood ◽

Moving Average ◽

Estimation Algorithm ◽

Bilinear Systems ◽

Autoregressive Moving Average ◽

Iterative Estimation

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Filtering-based recursive least-squares identification algorithm for controlled autoregressive moving average systems using the maximum likelihood principle

Journal of Vibration and Control ◽

10.1177/1077546314523634 ◽

2014 ◽

Vol 21 (15) ◽

pp. 3098-3106 ◽

Author(s):

Junhong Li ◽

Feng Ding

Keyword(s):

Maximum Likelihood ◽

Least Squares ◽

Moving Average ◽

Recursive Least Squares ◽

Autoregressive Moving Average ◽

Identification Algorithm ◽

Likelihood Principle ◽

Maximum Likelihood Principle

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Maximum Likelihood Estimation for Periodic Autoregressive Moving Average Models

Technometrics ◽

10.1080/00401706.1985.10488076 ◽

1985 ◽

Vol 27 (4) ◽

pp. 375-384 ◽

Author(s):

A. V. Vecchia

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Moving Average Models ◽

Autoregressive Moving Average Models

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