Recursive estimation of autoregression parameters

zbMath0657.93060MaRDI QIDQ1111514

Sergei L. Leonov

Publication date: 1988

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

large deviations; almost sure convergence; recursive algorithms; linear dynamic plant; estimation of the parameters; autoregression equation

Mathematics Subject Classification ID

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

93C55: Discrete-time control/observation systems

93E10: Estimation and detection in stochastic control theory

93C05: Linear systems in control theory

60F10: Large deviations

62L12: Sequential estimation

65C99: Probabilistic methods, stochastic differential equations

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