Online estimation methods for irregular autoregressive models

DOI10.1007/978-3-031-40209-8_1MaRDI QIDQ6609928zbMATH OpenFDO

Authors Felipe Elorrieta, Lucas Osses, Matias Cáceres, Susana Eyheramendy, Wilfredo Palma

Publication date 24 September 2024

Full work available at URL https://doi.org/10.1007/978-3-031-40209-8_1

zbMATH Keywords

autoregressive modelgradient descentonline estimationstreaming data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Economic time series analysis (91B84)

Cites work

• A novel first-order autoregressive moving average model to analyze discrete-time series irregularly observed
• Bayesian filtering and smoothing
• Climate time series analysis. Classical statistical and bootstrap methods
• Econometrics of financial high-frequency data
• scientific article; zbMATH DE number 3757565 (Why is no real title available?)
• Logarithmic regret algorithms for online convex optimization
• On continuous-time autoregressive fractionally integrated moving average processes
• The problem of the Nile: Conditional solution to a changepoint problem
• Time series clustering and classification

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