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Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method. (English) Zbl 0721.62091
The authors study estimation problems of orders and coefficients of linear feedback control systems, described by ARMAX models. The algorithms are inspired by the Hannan-Rissanen method for estimation of stationary ARMA models. Almost sure convergence of the estimates is proved using limit theorems for double array martingales and non-negative supermartingales.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
93E12 Identification in stochastic control theory
60F15 Strong limit theorems
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