A sequentially decoupling least-squares procedure for Box-Jenkins models is consistent and, after one Gauss-Newton step, asymptotically equivalent to the prediction error method when the auxiliary ARX order grows appropriately.
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Sequentially decoupling estimators for Box-Jenkins model estimation
A sequentially decoupling least-squares procedure for Box-Jenkins models is consistent and, after one Gauss-Newton step, asymptotically equivalent to the prediction error method when the auxiliary ARX order grows appropriately.