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The residual based interactive least squares algorithms and simulation studies. (English) Zbl 1189.62149
Summary: This paper presents a two-stage least squares based iterative algorithm, a residual based interactive least squares algorithm and a residual based recursive least squares algorithm for identifying controlled autoregressive moving average (C-ARMA) models. The simulation studies indicate that the proposed algorithms can effectively estimate the parameters of the C-ARMA models.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C60 Computational problems in statistics (MSC2010)
62L99 Sequential statistical methods
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