Adaptive accelerated proximal gradient algorithm for auto-regressive exogenous models with outliers

DOI10.1016/J.APM.2024.05.017MaRDI QIDQ7016447zbMATH OpenFDO

Authors Xixi Ji, Jing Chen, Qiang Liu, Quanmin Zhu

Publication date 6 March 2025

Published in Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.APM.2024.05.017

zbMATH Keywords

recursive identificationconvergence propertiesunbiased parameter estimatestate of chargeadaptive accelerated proximal gradientoutputs with outliers

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical optimization and variational techniques (65K10) Convex programming (90C25) Applications of mathematical programming (90C90) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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