A note on Model Reference Adaptive System (MRAS) estimate with infinite variance

DOI10.1111/J.1467-9574.1994.TB01447.XMaRDI QIDQ4850111zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran, Bovas Abraham

Publication date 19 December 1995

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.1994.tb01447.x

zbMATH Keywords

autoregressive modelinfinite variancemodel reference adaptive system estimateprediction errorsrecursive estimation procedurestable errors

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A criterion for filtering in semimartingale models
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
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• Minimum error dispersion linear filtering of scalar symmetric stable processes

Cited in

(4)

• Estimation for regression with infinite variance errors
• Recursive estimation for regression with infinite variance fractional ARIMA noise
• Smoothed estimates for models with random coefficients and infinite variance innovations
• Inference for some time series models with random coefficients and infinite variance innovations

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