Robust Parametric Identification for ARMAX Models with Non-Gaussian and Coloured Noise: A Survey

Robust Parametric Identification for ARMAX Models with Non-Gaussian and Coloured Noise: A Survey

In this paper the Cramer-Rao information bound for ARMAX (Auto-Regression-Moving-Average-Models-with-Exogenuos-inputs) under non-Gaussian noise is derived. It is shown that the direct application of the Least Squares Method (LSM) leads to incorrect (shifted) parameter estimates. This inconsistency c...

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Bibliographic Details
Main Authors: Jesica Escobar, Alexander Poznyak
Format: Article
Language:English
Published: MDPI AG 2022-04-01
Series:Mathematics
Subjects:
parameter estimation
least squares method
whitening filter
Fisher information
maximum likelihood method
nonlinear residual transformation
Online Access:https://www.mdpi.com/2227-7390/10/8/1291

Internet

https://www.mdpi.com/2227-7390/10/8/1291

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