Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process
Petre Stoica, B. Friedlander, T. Söderström · 1985
Multistep implementations are derived for the optimal instrumental variable (OIV) estimators introduced in [1]. The proposed algorithms provide asymptotically efficient estimates of the AR parameters of an ARMA process. The computational complexity of these algorithms is modest compared to the (exact) maximum likelihood estimator.