Recursive search-based identification algorithms for the exponential autoregressive time series model with coloured noise (Q6598712)
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scientific article; zbMATH DE number 7907054
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| English | Recursive search-based identification algorithms for the exponential autoregressive time series model with coloured noise |
scientific article; zbMATH DE number 7907054 |
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Recursive search-based identification algorithms for the exponential autoregressive time series model with coloured noise (English)
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5 September 2024
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gradient methods
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recursive estimation
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time series
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parameter estimation
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least squares approximations
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stochastic processes
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autoregressive moving average processes
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MI-ESG algorithm
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parameter estimation accuracy
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appropriate innovation length
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forgetting factor
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unknown parameters
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ExpARMA model
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recursive search-based identification algorithms
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exponential autoregressive time series model
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coloured noise
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recursive parameter estimation problems
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nonlinear exponential autoregressive model
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average noise
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gradient search
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extended stochastic gradient algorithm
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optimal step-size
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multiinnovation identification theory
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multiinnovation ESG algorithm
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0.8890129327774048
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0.8864062428474426
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0.8708655834197998
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0.8593199849128723
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