Optimal Recursive Estimation of Dynamic Models

DOI10.2307/2290903MaRDI QIDQ4314942zbMATH OpenOpenAlexFDO

Authors Carlo Grillenzoni

Publication date 28 November 1995

Full work available at URL https://doi.org/10.2307/2290903

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to economics (62P20)

Cited in

(5)

• Testing for causality in real time
• Forecast accuracy and effort: the case of US inflation rates
• Nonparametric regression for nonstationary processes
• Optimized adaptive prediction
• Sequential kernel estimation of the conditional intensity of nonstationary point processes

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