Title :
On identification of non-Gaussian time series
Author :
Mohler, R.R. ; Tang, Zhen ; Tang, Z.
Author_Institution :
Oregon State University, Corvallis OR, USA
Abstract :
Affine bilinear time series models AB(p,q) are considered here. An "inverse method" is used to estimate model parameters. A non-anticipative AB(p,p) model could be transfered to 2p-1 dimension vector form AB
Keywords :
Computational modeling; Computer simulation; Contracts; Difference equations; Estimation theory; H infinity control; Inverse problems; Parameter estimation; Statistical distributions; Statistics;
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '87.
DOI :
10.1109/ICASSP.1987.1169728
