BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS (Q4337818)
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scientific article; zbMATH DE number 1013413
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| English | BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS |
scientific article; zbMATH DE number 1013413 |
Statements
BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS (English)
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4 November 1997
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recursive least squares estimation algorithm
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convergence analysis
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exponential forgetting
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stationary Gaussian vector autoregressions
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asymptotic bias
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covariance function
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0.8356835246086121
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0.8355724811553955
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0.8275120854377747
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0.8201596736907959
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0.8175157904624939
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