Iterative Least Squares Estimation and Identification of the Transfer Function Model

Daniel Muller and William W. S. Wei

Journal of Time Series Analysis, 1997, vol. 18, issue 6, 579-592

Abstract: The ordinary least squares method is the most commonly used estimation procedure in statistics but estimates of the input and output parameters through this method for transfer function models are not necessarily consistent. An iterative regression procedure is proposed to produce consistent estimates. Consistent moment estimates are also given. On the basis of these consistent estimates a method of model specification is proposed. An example is given to illustrate the procedure

Date: 1997
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