TRANSFER FUNCTION ESTIMATION

L. Kavalieris

Journal of Time Series Analysis, 1993, vol. 14, issue 5, 485-496

Abstract: Abstract. We discuss the problem of estimating the transfer function and an autoregressive model for measurement noise in a linear system. A parameterization that is often more parsimonious than the usual ARX model is used. Particular emphasis is given to the selection of model orders when it is not assumed that the true system is finitely parameterized. Consistency of the transfer function and noise spectrum estimates is established using a new uniform convergence law for an appropriate class of martingale transforms.

Date: 1993
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https://doi.org/10.1111/j.1467-9892.1993.tb00159.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:14:y:1993:i:5:p:485-496

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