Data filtering based maximum likelihood extended gradient method for multivariable systems with autoregressive moving average noise

Journal of the Franklin Institute ◽

10.1016/j.jfranklin.2018.02.025 ◽

2018 ◽

Vol 355 (7) ◽

pp. 3381-3398 ◽

Author(s):

Feiyan Chen ◽

Feng Ding ◽

Ling Xu ◽

Tasawar Hayat

Keyword(s):

Maximum Likelihood ◽

Gradient Method ◽

Moving Average ◽

Autoregressive Moving Average ◽

Multivariable Systems ◽

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Data filtering based multi-innovation extended gradient method for controlled autoregressive autoregressive moving average systems using the maximum likelihood principle

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2016.06.006 ◽

2017 ◽

Vol 132 ◽

pp. 53-67 ◽

Author(s):

Feiyan Chen ◽

Feng Ding ◽

Ahmed Alsaedi ◽

Tasawar Hayat

Keyword(s):

Maximum Likelihood ◽

Gradient Method ◽

Moving Average ◽

Autoregressive Moving Average ◽

Data Filtering ◽

Likelihood Principle ◽

Maximum Likelihood Principle

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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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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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MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.1992.tb00099.x ◽

1992 ◽

Vol 13 (2) ◽

pp. 133-145 ◽

Author(s):

Gregory C. Reinsel ◽

Sabyasachi Basu ◽

Sook Fwe Yap

Keyword(s):

Maximum Likelihood ◽

Least Squares ◽

Moving Average ◽

Maximum Likelihood Estimators ◽

Generalized Least Squares ◽

Autoregressive Moving Average ◽

Average Model ◽

Autoregressive Moving Average Model ◽

Moving Average Model ◽

Multivariate Autoregressive

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Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering

Journal of the Royal Statistical Society Series C (Applied Statistics) ◽

10.2307/2346910 ◽

1980 ◽

Vol 29 (3) ◽

pp. 311 ◽

Author(s):

G. Gardner ◽

A. C. Harvey ◽

G. D. A. Phillips

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Kalman Filtering ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Moving Average Models ◽

Exact Maximum Likelihood ◽

Autoregressive Moving Average Models

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