Discrete variable stochastic approximation procedures and recursive autoregressive model identification

DOI10.1080/00207729008910516MaRDI QIDQ3486692zbMATH OpenOpenAlexFDO

Authors Katsuji Uosaki, Hiroshi Morita

Publication date 1990

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207729008910516

zbMATH Keywords

asymptotic convergence propertybest autoregressive approximation modeldiscrete variablesmaximumrecursive autoregressive parameter updatingrecursive identification of autoregressive time series modelsrecursive order estimationregression functiontheorem of almost supermartingales

Mathematics Subject Classification ID

Stochastic approximation (62L20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Stochastic Approximation Method
• Fitting autoregressive models for prediction
• Recursive estimation of mixed autoregressive-moving average order
• Some recent advances in time series modeling
• Stochastic approximation methods for constrained and unconstrained systems
• Stochastic approximation on a discrete set and the multi— armed
• Stochastic complexity and modeling
• Stochastic Estimation of the Maximum of a Regression Function
• The Fitting of Time-Series Models

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