THE REFINED OPTIMAL INSTRUMBNTAL VARIABLE MBTHOD OF TIME SERIES ANALYSIS
X. L. Wang, Martin B. Zarrop · 1989
The properties of estimators of noise model parameters are investigated in this paper. The estimator covariance matrix is taken as a measure of accuracy and it is shown to be optimized by an appropriate selection of instrumental variable (IV). The Ref ined-Optimal IV method is then proposed and the analysis and Monte-Carlo simulation results indicate that the algorithm yields asymptotically efficient estimation results, even for low sample size and low signal/noise ratios.